このアイテムのアクセス数: 10

このアイテムのファイル:
ファイル 記述 サイズフォーマット 
DP956.pdf1.33 MBAdobe PDF見る/開く
タイトル: Asymmetric volatility connectedness on the forex market
著者: Baruník, Jozef
Kočenda, Evžen
Vácha, Lukáš
キーワード: volatility
connectedness
spillovers
semivariance
asymmetric effects
forex market
発行日: Jan-2017
出版者: Institute of Economic Research, Kyoto University
誌名: KIER Discussion Paper
巻: 956
抄録: We show how bad and good volatility propagate through the forex market, i.e., we provide evidence for asymmetric volatility connectedness on the forex market. Using highfrequency, intra-day data of the most actively traded currencies over 2007 - 2015 we document the dominating asymmetries in spillovers that are due to bad, rather than good, volatility. We also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in Europe while positive spillovers are correlated with the subprime crisis, different monetary policies among key world central banks, and developments on commodities markets. It seems that a combination of monetary and real-economy events is behind the positive asymmetries in volatility spillovers, while fiscal factors are linked with negative spillovers.
URI: http://hdl.handle.net/2433/217915
出現コレクション:KIER Discussion Paper (英文版)

アイテムの詳細レコードを表示する

Export to RefWorks


出力フォーマット 


このリポジトリに保管されているアイテムはすべて著作権により保護されています。