Risk transmitters and receivers in global currency markets

Syed Jawad Hussain Shahzad, Jose Arreola-Hernandez, Stelios Bekiros and Mobeen Ur Rehman
Authors registered in the RePEc Author Service: Jose Arreola Hernandez

Finance Research Letters, 2018, vol. 25, issue C, 1-9

Abstract: We implement a robust multi-scenario cross-quantilogram network approach to examine the strength and direction of interdependencies and spillover transmission among 25 developed, emerging, Middle Eastern and North African (MENA) FX markets. We find evidence of statistically significant risk transmission and reception between numerous FX rates that varies under different market states i.e., bearish, normal and bullish. The currencies of develop markets act mainly as spillover transmitter, while those with lower currency values are spillover receivers. Implications of the results are discussed.

Keywords: Quantile-on-quantile causality; Currency markets (search for similar items in EconPapers)
JEL-codes: C1 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Working Paper: Risk transmitters and receivers in global currency markets (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:25:y:2018:i:c:p:1-9

DOI: 10.1016/j.frl.2017.09.018

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