RT Report
T1 Volatility transmission between stock and exchange-rate markets: A connectedness analysis
A1 Fernández Rodríguez, Fernando
A1 Sosvilla Rivero, Simón Javier
AB This 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.
PB Instituto Complutense de Estudios Internacionales (ICEI)
SN 2530-0849
YR 2016
FD 2016
LK https://hdl.handle.net/20.500.14352/27605
UL https://hdl.handle.net/20.500.14352/27605
LA eng
DS Docta Complutense
RD 12 may 2025