Volatility connectedness on the central European forex markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F24%3A43924903" target="_blank" >RIV/62156489:43110/24:43924903 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/24:10486272
Result on the web
<a href="https://doi.org/10.1016/j.irfa.2024.103179" target="_blank" >https://doi.org/10.1016/j.irfa.2024.103179</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.irfa.2024.103179" target="_blank" >10.1016/j.irfa.2024.103179</a>
Alternative languages
Result language
angličtina
Original language name
Volatility connectedness on the central European forex markets
Original language description
We perform a comprehensive assessment of volatility connectedness between the currencies of Central European (CE) countries using high-frequency data from 2009 to 2022. We provide evidence of asymmetries in connectedness that are dominated by negative volatility, especially during periods of economic distress. We also detect statistically significant economic or political events that lead to increased volatility connectedness. Plus, we document the impact of global shocks, not local ones. Further, the existing lag in the response of the spillover index to stressful events offers an opportunity to effectively hedge foreign exchange risk and to use the CE currencies as hedging tools. Finally, in terms of market-specific factors, liquidity dominates uncertainty as a connectedness driver. Our results are robust with respect to volatility measures and provide direct policy implications for portfolio composition and hedging.
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
50206 - Finance
Result continuities
Project
<a href="/en/project/GA22-34451S" target="_blank" >GA22-34451S: New Methods in Pricing Government Debt: Uncertainty and Policy Implications</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
International Review of Financial Analysis
ISSN
1057-5219
e-ISSN
1873-8079
Volume of the periodical
93
Issue of the periodical within the volume
May
Country of publishing house
US - UNITED STATES
Number of pages
16
Pages from-to
103179
UT code for WoS article
001218223300001
EID of the result in the Scopus database
2-s2.0-85188253584