Dynamic connectedness of global currencies: a conditional Granger-causality approach

Le Tan, Franck Martin and Duc Khuong Nguyen

Working Papers from HAL

Abstract: Conditional granger causality framework in Barnett and Seth (2014) is employed to measure the connectedness among the most globally traded currencies. The connectedness exhibits dynamics through time on both breadth and depth dimensions at three levels: node-wise, group-wise and system-wise. Overall, rolling connectedness series could capture major systemic events like Lehman Broth-ers' collapse and the get-through of Outright Monetary Transactions in Europe in September 2012. The rolling total breath connectedness series spike during high-risk episodes, becomes more stable in lower risk environment and is positively correlated with volatility index and Ted spread, thus, can be considered as a systemic risk indicator in light of Billio et al. (2012). Global currencies tend structure into communities based on connection strength and density. While more links are found related to currencies from emerging markets, G11 currencies are net spreaders of foreign exchange rate returns. Finally, hard currencies including Canadian dollar, Norwegian Krone and Japanese Yen frequently present among the top most connected, though the centrality positions vary over time.

Keywords: conditional granger causality; exchange rates; connectedness; systemic risk (search for similar items in EconPapers)
Date: 2018-06-04
New Economics Papers: this item is included in nep-knm and nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-01806733
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-01806733/document (application/pdf)

Related works:
Working Paper: Dynamic connectedness of global currencies: a conditional Granger-causality approach (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01806733

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().