The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets

Costas Karfakis () and Theodore Panagiotidis

Empirica, 2015, vol. 42, issue 4, 795-811

Abstract: This study examines first the effects of financial market turmoil in the fall of 2008 on the conditional correlations between three exchange rate returns (USD/EUR, JPY/USD, USD/GBP), and then the effects of quantitative easing programs and Greek debt crisis on the entire distribution of estimated correlations. The dynamic correlations have sharply increased during the period that followed the collapse of Lehman Brothers, indicating a financial contagion across currency markets. The quantitative easing programs of the Federal Reserve and the Bank of England have affected the conditional correlations between the currency pairs. Finally, the Greek debt crisis has emerged as the most significant covariate of the quantile regressions. Copyright Springer Science+Business Media New York 2015

Keywords: Currency markets; Quantitative easing; GARCH; Dynamic conditional correlation; Quantile regression; C32; F31; G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10663-014-9277-8 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets (2014)
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:kap:empiri:v:42:y:2015:i:4:p:795-811

Ordering information: This journal article can be ordered from
http://www.springer. ... ration/journal/10663

DOI: 10.1007/s10663-014-9277-8

Access Statistics for this article

Empirica is currently edited by Fritz Breuss and Fritz Breuss

More articles in Empirica from Springer, Austrian Institute for Economic Research, Austrian Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().