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Journal Article

Asymmetric volatility connectedness on the forex market

Baruník Jozef, Kočenda Evžen, Vácha Lukáš

: Journal of International Money and Finance vol.77, 1 (2017), p. 39-56

: GA16-14179S, GA ČR

: volatility, connectedness, asymmetric effects

: 10.1016/j.jimonfin.2017.06.003

: http://library.utia.cas.cz/separaty/2017/E/barunik-0478477.pdf

(eng): 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.

: AH

: 50206

2019-01-07 08:39