Effect of exchange rate return on volatility spill-over across trading regions

Don U.A. Galagedera*, Yoshihiro Kitamura

*この研究の対応する著者

研究成果: Article査読

8 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)254-265
ページ数12
ジャーナルJapan and The World Economy
24
4
DOI
出版ステータスPublished - 2012 12月 1

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学
  • 政治学と国際関係論

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