Asymmetric volatility connectedness on the forex market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00478477" target="_blank" >RIV/67985556:_____/17:00478477 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/17:10363571
Result on the web
<a href="http://dx.doi.org/10.1016/j.jimonfin.2017.06.003" target="_blank" >http://dx.doi.org/10.1016/j.jimonfin.2017.06.003</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jimonfin.2017.06.003" target="_blank" >10.1016/j.jimonfin.2017.06.003</a>
Alternative languages
Result language
angličtina
Original language name
Asymmetric volatility connectedness on the forex market
Original language description
We show how bad and good volatility propagate through the forex market, i.e., we provide evidence for asymmetric volatility connectedness on the forex market. Using high- frequency, intra-day data of the most actively traded currencies over 2007–2015 we doc- ument the dominating asymmetries in spillovers that are due to bad, rather than good, volatility. We also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in Europe while positive spillovers are correlated with the subprime crisis, dif- ferent monetary policies among key world central banks, and developments on commodi- ties markets. It seems that a combination of monetary and real-economy events is behind the positive asymmetries in volatility spillovers, while fiscal factors are linked with nega- tive spillovers.
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/GA16-14179S" target="_blank" >GA16-14179S: New measures of dependence between economic variables</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
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 Money and Finance
ISSN
0261-5606
e-ISSN
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Volume of the periodical
77
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
18
Pages from-to
39-56
UT code for WoS article
000410677200003
EID of the result in the Scopus database
2-s2.0-85030483421