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Risk transmitters and receivers in global currency markets

Domaine:

socioeconomic

Type de record:

paper
Créateur:
ShaArrBekReh
Éditeur:
GroESCSha
Éditeur:
CCSDElsevier
Hôte:avatar
International audience We implement a robust multi-scenario cross-quantilogram network approach to examine the strength and direction of interdependencies and spillover transmission among 25 developed, emerging, Middle Eastern and North African (MENA) FX markets. We find evidence of statistically significant risk transmission and reception between numerous FX rates that varies under different market states i.e., bearish, normal and bullish. The currencies of develop markets act mainly as spillover transmitter, while those with lower currency values are spillover receivers. Implications of the results are discussed.

Visit

rennes-sb.hal.science

Tags

Quantile-on-quantile causalityCurrency marketsJEL: C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: GeneralJEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets[QFIN]Quantitative Finance [q-fin]

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