Publication:
Volatility transmission between stock and exchange-rate markets: A connectedness analysis

dc.contributor.authorFernández-Rodríguez, Fernando
dc.contributor.authorSosvilla-Rivero, Simón
dc.date.accessioned2023-06-18T10:26:07Z
dc.date.available2023-06-18T10:26:07Z
dc.date.issued2016
dc.description.abstractThis paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yilmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.
dc.description.facultyInstituto Complutense de Estudios Internacionales
dc.description.refereedTRUE
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/40762
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dc.identifier.issn2530-0849
dc.identifier.relatedurlhttps://www.ucm.es/icei/working-papers
dc.identifier.urihttps://hdl.handle.net/20.500.14352/27605
dc.issue.number04
dc.language.isoeng
dc.page.total22
dc.publication.placePozuelo de Alarcón, España
dc.publisherInstituto Complutense de Estudios Internacionales (ICEI)
dc.relation.ispartofseriesWorking Papers
dc.rightsAtribución-NoComercial 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttps://creativecommons.org/licenses/by-nc/3.0/es/
dc.subject.jelC53
dc.subject.jelE44
dc.subject.jelF31
dc.subject.jelG15
dc.subject.keywordStock markets
dc.subject.keywordExchange rates
dc.subject.keywordMarket Linkages
dc.subject.keywordVector Autoregression
dc.subject.keywordVariance Decomposition
dc.subject.ucmComercio
dc.subject.ucmDinero
dc.subject.unesco5304.03 Comercio exterior
dc.subject.unesco5304.06 Dinero y Operaciones Bancarias
dc.titleVolatility transmission between stock and exchange-rate markets: A connectedness analysis
dc.typetechnical report
dc.volume.number2016
dspace.entity.typePublication
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