Volatility connectedness on the central European forex markets

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/24:10486272

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Volatility connectedness on the central European forex markets

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Volatility connectedness on the central European forex markets

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA22-34451S" target="_blank" >GA22-34451S: Nové metody v oceňování vládního dluhu: nejistota a hospodářsko-politické implikace</a><br>

Návaznosti

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

Rok uplatnění

2024

Kód důvěrnosti údajů

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

Název periodika

International Review of Financial Analysis

ISSN

1057-5219

e-ISSN

1873-8079

Svazek periodika

93

Číslo periodika v rámci svazku

May

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

16

Strana od-do

103179

Kód UT WoS článku

001218223300001

EID výsledku v databázi Scopus

2-s2.0-85188253584