Event-Driven Changes in Volatility Connectedness in Global Forex Markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F25%3A43926294" target="_blank" >RIV/62156489:43110/25:43926294 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/25:10510397
Result on the web
<a href="https://doi.org/10.1016/j.mulfin.2024.100896" target="_blank" >https://doi.org/10.1016/j.mulfin.2024.100896</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.mulfin.2024.100896" target="_blank" >10.1016/j.mulfin.2024.100896</a>

Result language
angličtina
Original language name
Event-Driven Changes in Volatility Connectedness in Global Forex Markets
Original language description
Using novel methods, we comprehensively analyze volatility connectedness among most traded currencies using high-frequency data from 2009 to 2023. Our study presents the first empirical evidence of a statistically significant association between increases in connectedness and endogenously selected impactful events for most traded currencies. Moreover, we uncover the previously unexplored relationship between twenty-three events affecting global forex connectedness up to one business month ahead and further analyze pre-event connectedness changes. We also distinguish between the transitory and permanent impacts of events on connectedness and confirm the association of four events with a permanent shift in connectedness; two events are associated with the EU and US debt crises. We compute the portfolio weights and hedge ratios for portfolio optimization and uncover the Swiss franc and Japanese yen as the most suitable tools for managing currency risk. The effects of intra-day currency depreciation versus appreciation against the U.S. dollar differ significantly, but the extent of asymmetries declines over time.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

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)

Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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