Volatility transmission in emerging European foreign exchange markets
This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR/USD foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily reali...
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| Veröffentlicht in: | Journal of banking & finance 2011-11, Vol.35 (11), p.2829-2841 |
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| container_title | Journal of banking & finance |
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| creator | Bubak, V Kocenda, Evzen Zikes, F |
| description | This paper studies the dynamics of volatility transmission between Central European (CE) currencies and the EUR/USD foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well as on the lagged realized volatilities of the other exchange rates. We find evidence of statistically significant intra-regional volatility spillovers among the CE foreign exchange markets. With the exception of the Czech and, prior to the recent turbulent economic events, Polish currencies, we find no significant spillovers running from the EUR/USD to the CE foreign exchange markets. To measure the overall magnitude and evolution of volatility transmission over time, we construct a dynamic version of the Diebold–Yilmaz volatility spillover index and show that volatility spillovers tend to increase in periods characterized by market uncertainty. |
| doi_str_mv | 10.1016/j.jbankfin.2011.03.012 |
| format | Article |
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| ispartof | Journal of banking & finance, 2011-11, Vol.35 (11), p.2829-2841 |
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| language | eng |
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| source | RePEc; ScienceDirect Journals (5 years ago - present) |
| subjects | Currencies Economic models Emerging markets Europe European emerging markets Financial models Foreign exchange Foreign exchange markets Foreign exchange markets Volatility Spillovers Intraday data Nonlinear dynamics European emerging markets Foreign exchange rates Intraday data Nonlinear dynamics Spillovers Studies Volatility |
| title | Volatility transmission in emerging European foreign exchange markets |
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