Currency tail risk measurement and spillovers: An improved TENET approach

•The paper estimates the VaR with the enhanced AS-CAViaR model and constructs the tail risk network among currencies under an improved TENET approach.•Overall currency tail risk connectedness has a downward trend, but spikes during major events and has risen significantly in recent years.•Developed economies have higher inward and outward tail risk spillovers than developing economies.•The currencies of Europe and North America are mainly tail risk transmitters, while those of Asia and Africa (South Africa) are mainly receiver. Based on an improved TENET approach, this paper analyses the tail risk of 32 major global currencies and measures the tail risk spillover among these currencies using daily data. We find that (i) The tail risk of USD, EUR, GBP and JPY is relatively high, while CNY shows low risk with a continuous upward trend; (ii) The total tail risk connectedness of currencies declines over time, but spikes during significant events in recent years; (iii) The tail risk spillover of currencies from developed economies is higher than developing economies. Moreover, European and North American currencies primarily exhibit tail risk spillover, while Asian and African (South African) currencies mainly absorb risk from other regions.