Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets

MOHAMMED, Walid Abass (2021). Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. Journal of Risk and Financial Management, 14 (6).

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Official URL: https://www.mdpi.com/1911-8074/14/6/270
Open Access URL: https://www.mdpi.com/1911-8074/14/6/270/pdf (Published version)
Link to published version:: https://doi.org/10.3390/jrfm14060270
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    Abstract

    In this paper, we investigate the “static and dynamic” return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005–2016. Focusing on the spillover index methodology, the generalised VAR framework is employed. Our findings indicate no evidence of bi-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers from developed to developing countries are highlighted. Furthermore, our findings document significant bi-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British pound sterling (GBP) and the Euro (EUR) as the most significant transmitters of volatility. The findings reiterate the prominence of volatility spillovers to financial regulators.

    Item Type: Article
    Additional Information: ** From MDPI via Jisc Publications Router ** Licence for this article: https://creativecommons.org/licenses/by/4.0/ **Journal IDs: eissn 1911-8074 **History: published 16-06-2021; accepted 07-06-2021
    Uncontrolled Keywords: foreign exchange market, volatility spillover, return spillover, VAR framework, variance decomposition, financial crisis, financial interdependence
    Identification Number: https://doi.org/10.3390/jrfm14060270
    SWORD Depositor: Colin Knott
    Depositing User: Colin Knott
    Date Deposited: 24 Jun 2021 14:03
    Last Modified: 24 Jun 2021 14:15
    URI: http://shura.shu.ac.uk/id/eprint/28762

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