Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets

Journal of Risk and Financial Management

Walid Abass Mohammed¹ 

[1] College of Business, Technology and Engineering, Sheffield Hallam University, Sheffield S1 1WB, UK;

关键词: foreign exchange market;    volatility spillover;    return spillover;    VAR framework;    variance decomposition;    financial crisis;   

DOI  :  10.3390/jrfm14060270

来源: DOAJ

【 摘 要 】

In this paper, we investigate the “static and dynamic” return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005–2016. Focusing on the spillover index methodology, the generalised VAR framework is employed. Our findings indicate no evidence of bi-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers from developed to developing countries are highlighted. Furthermore, our findings document significant bi-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British pound sterling (GBP) and the Euro (EUR) as the most significant transmitters of volatility. The findings reiterate the prominence of volatility spillovers to financial regulators.

【 授权许可】

Unknown