RT Report
T1 Volatility spillovers between foreing-exchange and stock markets
A1 Morales Zumaquero, Amalia
A1 Sosvilla Rivero, Simón Javier
AB This paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreign exchange and stock markets in the seven economies which concentrate the majority of foreign exchange transactions (i.e. United Kingdom, Euro area, Australia, Swiss, Canada, United Kingdom and Japan), using daily data, during the period 1990 to 2015 and during the pre-global and post-global financial crisis periods. To that end, we employ two econometric methodologies: the C-GARCH methodology by Engle and Lee (1999) and the SVAR framework (Sohel Azad et al., 2015). Results suggest that: (i) permanent and transitory components of the conditional variance exhibit several well-known peaks in volatilities; (ii) the long-run volatility relationships are stronger than the short-run linkages volatility with a reinforcement during the post-global financial crisis period; (iii) the presence of intra-spillovers and inter-spillovers increases substantially during the post-global financial crisis period and (iv) in all samples, the stock markets play a dominant role in the transmission of long-run and short-run volatility, except for in the period after the Global Financial Crisis, where the foreign-exchange markets are the main long-run volatility triggers.
PB Instituto Complutense de Estudios Internacionales (ICEI)
SN 2530-0849
YR 2017
FD 2017
LK https://hdl.handle.net/20.500.14352/22885
UL https://hdl.handle.net/20.500.14352/22885
LA eng
NO This work was supported by the Banco de España through [grant from Programa de Ayudas a la Investigación 2016–2017 en Macroeconomía, Economía Monetaria, Financiera y Bancaria e Historia Económica]; the Spanish Ministry of Education, Culture and Sport [grant PRX16/00261]; and the Spanish Ministry of Economy and Competitiveness [grant ECO2016-76203-C2-2-P].
NO Ministerio de Economía, Comercio y Empresa (España)
NO Ministerio de Educación, Formación Profesional y Deportes (España)
NO Banco de España
DS Docta Complutense
RD 12 abr 2025