Exchange rate comovements, hedging and volatility spillovers on new EU forex markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F19%3A10380393" target="_blank" >RIV/00216208:11230/19:10380393 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=hWK5jtdjM1" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=hWK5jtdjM1</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.intfin.2018.09.009" target="_blank" >10.1016/j.intfin.2018.09.009</a>
Alternative languages
Result language
angličtina
Original language name
Exchange rate comovements, hedging and volatility spillovers on new EU forex markets
Original language description
We analyze time-varying exchange rate co-movements, hedging ratios, and volatility spillovers on the new EU forex markets during 1999M1-2018M5. We document significant differences in the extent of currency comovements during various periods of market distress that are related to real economic and financial events. These imply favorable diversification benefits: the hedge-ratio calculations show all three currencies bring hedging benefits during crisis periods, but at different costs. During calm periods, most of the volatilities are due to each currency's own history. During the distress periods, volatility spillovers among currencies increase substantially and the Hungarian currency assumes a leading role.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GA19-15650S" target="_blank" >GA19-15650S: Central Bank Governance: Transparency and Communication after the Crisis</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of International Financial Markets, Institutions and Money
ISSN
1042-4431
e-ISSN
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Volume of the periodical
58
Issue of the periodical within the volume
January
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
23
Pages from-to
42-64
UT code for WoS article
000456185700003
EID of the result in the Scopus database
2-s2.0-85054148561