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Exchange rate co-movements, hedging and volatility spillovers in new EU forex markets

Kočenda, Evžen; Moravcová, Michala - 2017

We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … volatilities are due to each currency's own history. However, during the distress periods volatility spillovers among currencies …

Persistent link: https://www.econbiz.de/10011763803

Volatility spillovers between the European and South African foreign exchange markets

Niyitegeka, Olivier; Tewari, Devi D. - In: Cogent economics & finance 8 (2020) 1, pp. 1-17

datasets, for the crisis and post-crisis periods, the study identifies significant uni-directional volatility spillovers from … the euro to the rand during crisis and post-crisis periods. Further, increased volatility spillovers and time …This article investigates the exchange rate volatility spillover and dynamic conditional correlation between the euro …

Persistent link: https://www.econbiz.de/10012215203

Equity return volatility in Africa's stock markets : a dynamic panel approach

Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22

to advanced market volatility spillovers. These markets may thus provide international diversification opportunities for …This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using …

Persistent link: https://www.econbiz.de/10014501248

Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries

Kim, Hyeongwoo - 2010

We estimate dynamic conditional correlations of financial asset returns across countries by an array of multivariate GARCH models and analyze spillover effects of the recent US financial crisis on 5 emerging Asian countries. We confirm the existence of financial contagion around the collapse of...

Persistent link: https://www.econbiz.de/10013143576

What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market

Kalotychou, Elena - 2014

We analyze the cross-border propagation of systemic risk in the international sovereign debt market. Using daily data on CDS spreads for 67 sovereign borrowers from 2002 to 2013 we define sovereign credit events as those in which the spread widens by more than 99.9% of all spread changes within...

Persistent link: https://www.econbiz.de/10013055684

Financial Market Contagion in the Asian Crisis

Goldfajn, Ilan - 2021

This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market...

Persistent link: https://www.econbiz.de/10013212114

Carry Trade and Liquidity Risk : Evidence from forward and Cross-Currency Swap Markets

Chang, Yang - 2012

This study empirically examines the effect of foreign exchange (FX) market liquidity risk and volatility on the excess … - violations of no arbitrage bounds in the forward and currency swap markets. We also use volatility smile data to capture FX …-market specific volatility. The sample data cover periods both before and after the Global Financial Crisis (GFC). Both proxies are …

Persistent link: https://www.econbiz.de/10013101415

The Asian Crisis : What Did Local Stock Markets Expect?

García Herrero, Alicia - 2009

In this paper we investigate whether cross-sectional information from local equity markets contained information on devaluation expectations during the Asian crisis. We concentrate on the information content of equity prices as these markets were in general the largest and most liquid at the...

Persistent link: https://www.econbiz.de/10013156570

Drivers of Exchange Rate Dynamics in Selected CIS Countries : Evidence from a FAVAR Analysis

Dreger, Christian - 2009

We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....

Persistent link: https://www.econbiz.de/10013158263

The extreme risk problem for monetary policies of the Euro-candidates

Gabrisch, Hubert; Orłowski, Lucjan T. - 2010

significant degree of leptokurtosis, thus prevalence of tail-risks, in the conditional volatility series of such variables in the …

Persistent link: https://www.econbiz.de/10003969864