Exchange rate comovements, hedging and volatility spillovers on new EU forex markets

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Exchange rate comovements, hedging and volatility spillovers on new EU forex markets

Popis výsledku v původním jazyce

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&apos;s own history. During the distress periods, volatility spillovers among currencies increase substantially and the Hungarian currency assumes a leading role.

Název v anglickém jazyce

Exchange rate comovements, hedging and volatility spillovers on new EU forex markets

Popis výsledku anglicky

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&apos;s own history. During the distress periods, volatility spillovers among currencies increase substantially and the Hungarian currency assumes a leading role.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GA19-15650S" target="_blank" >GA19-15650S: Správa centrálních bank: Transparence a komunikace po krizi</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of International Financial Markets, Institutions and Money

ISSN

1042-4431

e-ISSN

—

Svazek periodika

58

Číslo periodika v rámci svazku

January

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

23

Strana od-do

42-64

Kód UT WoS článku

000456185700003

EID výsledku v databázi Scopus

2-s2.0-85054148561