2016/07/27 by Jozef Baruník, Evžen Kočenda, Barunik, Jozef +3
Economics, Econometrics and Finance · #FOS: Economics and business #Financial Risk and Volatility Modeling #General Finance (q-fin.GN) #Market Dynamics and Volatility #Monetary Policy and Economic Impact #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.1607.08214
openalex publication_date 2016/07/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, 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 net positive asymmetries in volatility spillovers, while fiscal factors are linked with net negative spillovers.