TY - JOUR
T1 - Exchange Return Co-movements and Volatility Spillovers Before and After the Introduction of Euro
AU - Antonakakis, Nikolaos
PY - 2012/12/1
Y1 - 2012/12/1
N2 - This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility spillovers, however, their extend is, on average, lower in the post-euro period. Co-movements and spillovers are positively associated with extreme episodes and US dollar appreciations. The euro (Deutsche mark) is the dominant net transmitter of volatility, while the British pound the dominant net receiver of volatility in both periods. Nevertheless, cross-market volatility spillovers are bidirectional, and the highest spillovers occur between European markets.
AB - This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility spillovers, however, their extend is, on average, lower in the post-euro period. Co-movements and spillovers are positively associated with extreme episodes and US dollar appreciations. The euro (Deutsche mark) is the dominant net transmitter of volatility, while the British pound the dominant net receiver of volatility in both periods. Nevertheless, cross-market volatility spillovers are bidirectional, and the highest spillovers occur between European markets.
UR - http://www.sciencedirect.com/science?_ob=DownloadURL&_method=confirm&_eidkey=1-s2.0-S1042443112000534&count=1&_docType=FLA&_zone=toolbar&_acct=C000228598&_version=1&_userid=10&md5=066d2f6236c7918166f4d231af1a8ed4
U2 - 10.1016/j.intfin.2012.05.009
DO - 10.1016/j.intfin.2012.05.009
M3 - Journal article
SN - 1042-4431
VL - 22
SP - 1091
EP - 1109
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
IS - 5
ER -