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Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets
| Content Provider | MDPI |
|---|---|
| Author | Mohammed, Walid |
| Copyright Year | 2021 |
| Description | In this paper, we investigate the “static and dynamic” return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005–2016. Focusing on the spillover index methodology, the generalised VAR framework is employed. Our findings indicate no evidence of bi-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers from developed to developing countries are highlighted. Furthermore, our findings document significant bi-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British pound sterling (GBP) and the Euro (EUR) as the most significant transmitters of volatility. The findings reiterate the prominence of volatility spillovers to financial regulators. |
| Starting Page | 270 |
| e-ISSN | 19118074 |
| DOI | 10.3390/jrfm14060270 |
| Journal | Journal of Risk and Financial Management |
| Issue Number | 6 |
| Volume Number | 14 |
| Language | English |
| Publisher | MDPI |
| Publisher Date | 2021-06-16 |
| Access Restriction | Open |
| Subject Keyword | Journal of Risk and Financial Management Applied Ethics Foreign Exchange Market Volatility Spillover Return Spillover Var Framework Variance Decomposition Financial Crisis Financial Interdependence |
| Content Type | Text |
| Resource Type | Article |
