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Volatility transmission in emerging European foreign exchange markets
Bubák, Vít; Kocenda, Evézen; Zikes, Filip - 2010
-regional volatility spillovers among the Central European foreign exchange markets. With the exception of the Czech currency, we find no … spillover index, and show that volatility spillovers tend to increase in periods characterized by market uncertainty. …This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign …
Persistent link: https://www.econbiz.de/10010270529
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Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis
Kocenda, Evžen; Moravcová, Michala - 2018
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011–2015. Our...
Persistent link: https://www.econbiz.de/10011931989
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Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets
Baruník, Jozef; Kocenda, Evžen - 2019
that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …
Persistent link: https://www.econbiz.de/10012052862
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The Effect of U.S. Stress Tests on Monetary Policy Spillovers to Emerging Markets
Liu, Emily - 2019
suggests that monetary policy spillovers depend on banks' capital constraints. In particular, during a period of quantitative …
Persistent link: https://www.econbiz.de/10012858696
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Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets
Baruník, Jozef - 2019
that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …
Persistent link: https://www.econbiz.de/10012865701
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Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes … that sizably change over time in different sectors. While negative spillovers are often of substantial magnitudes, they do …
Persistent link: https://www.econbiz.de/10010531779
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Energy Contagion in the COVID-19 Crisis
Heinlein, Reinhold; Legrenzi, Gabriella Deborah; … - 2020
We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...
Persistent link: https://www.econbiz.de/10012227685
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When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds
Melvin, Michael; Shand, Duncan - 2016
We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown duration is estimated. We find evidence that drawdown...
Persistent link: https://www.econbiz.de/10011584909
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International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015
This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …
Persistent link: https://www.econbiz.de/10011388287
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Japanese foreign exchange intervention and the Yen/Dollar exchange rate: a simultaneous equations approach using realized volatility
Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - 2006
We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate …. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility … increase in volatility associated with interventions. During the period 1999 through 2004, the estimations are consistent with …
Persistent link: https://www.econbiz.de/10010263952