TY - JOUR
T1 - Effect of exchange rate return on volatility spill-over across trading regions
AU - Galagedera, Don U.A.
AU - Kitamura, Yoshihiro
N1 - Funding Information:
We would like to thank the editor, the anonymous associate editor and the anonymous reviewer for insightful comments and suggestions on an earlier version of the paper. Yoshihiro Kitamura gratefully acknowledges financial support from the JSPS Grant in aid to Young Scientists ( B21730251 ), the Hokugin Foundation and the Nihon Housei Gakkai Foundation .
Publisher Copyright:
© 2012 Elsevier B.V.
Copyright:
Copyright 2018 Elsevier B.V., All rights reserved.
PY - 2012/12/1
Y1 - 2012/12/1
N2 - This paper examines the effect of realized exchange rate returns on the volatility spill-over between the euro–US dollar and US dollar–yen currency pairs across the five trading regions: Asia, Asia–Europe overlap, Europe, Europe–America overlap and America. Modelling the interaction between returns and volatility in an autoregressive five-equation system, we find evidence that depreciation of the US dollar against the yen has a greater impact on the US dollar–yen volatility spill-over than appreciation in the subprime crisis period. Appreciation and depreciation of the US dollar against the euro does not appear to have an asymmetric effect on the euro–US dollar volatility spill-over. Our results support the notion that the yen may have been preferred to the euro as a ‘safe-haven’ currency relative to the US dollar during the subprime crisis period.
AB - This paper examines the effect of realized exchange rate returns on the volatility spill-over between the euro–US dollar and US dollar–yen currency pairs across the five trading regions: Asia, Asia–Europe overlap, Europe, Europe–America overlap and America. Modelling the interaction between returns and volatility in an autoregressive five-equation system, we find evidence that depreciation of the US dollar against the yen has a greater impact on the US dollar–yen volatility spill-over than appreciation in the subprime crisis period. Appreciation and depreciation of the US dollar against the euro does not appear to have an asymmetric effect on the euro–US dollar volatility spill-over. Our results support the notion that the yen may have been preferred to the euro as a ‘safe-haven’ currency relative to the US dollar during the subprime crisis period.
KW - Exchange rate
KW - High-frequency data
KW - Volatility spill-over
UR - http://www.scopus.com/inward/record.url?scp=84864869883&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84864869883&partnerID=8YFLogxK
U2 - 10.1016/j.japwor.2012.07.003
DO - 10.1016/j.japwor.2012.07.003
M3 - Article
AN - SCOPUS:84864869883
SN - 0922-1425
VL - 24
SP - 254
EP - 265
JO - Japan and the World Economy
JF - Japan and the World Economy
IS - 4
ER -