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Exchange Return Co-movements and Volatility Spillovers Before and After the Introduction of Euro

Antonakakis, Nikolaos (2012) Exchange Return Co-movements and Volatility Spillovers Before and After the Introduction of Euro. Journal of International Financial Markets, Institutions and Money, 22 (5). pp. 1091-1109. ISSN 1042-4431

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Abstract

This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility spillovers, however, their extend is, on average, lower in the post-euro period. Co-movements and spillovers are positively associated with extreme episodes and US dollar appreciations. The euro (Deutsche mark) is the dominant net transmitter of volatility, while the British pound the dominant net receiver of volatility in both periods. Nevertheless, cross-market volatility spillovers are bidirectional, and the highest spillovers occur between European markets. (author's abstract)

Item Type: Article
Additional Information: To see the final version of this paper please visit the publisher's website. Access to the published version may require a subscription.
Keywords: Exchange returns co-movement / volatility spillover / VAR / variance decomposition / multivariate GARCH
Classification Codes: JEL C32, F31, G15
Divisions: Departments > Volkswirtschaft > Internationale Wirtschaft
Version of the Document: Accepted for Publication
Variance from Published Version: Minor
Depositing User: Nikolaos Antonakakis
Date Deposited: 20 Aug 2012 10:44
Last Modified: 02 Feb 2015 14:59
URI: http://epub.wu.ac.at/id/eprint/3604

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