Economics at your fingertips  

Liquidity spillover in foreign exchange markets

Ya-Ting Chang, Yin-Feng Gau and Chih-Chiang Hsu

Finance Research Letters, 2022, vol. 44, issue C

Abstract: We use an index of spillover based on the generalized variance decomposition developed by Diebold and Yilmaz (2009, 2012) to measure the spillover in liquidity in currency markets between 2008 and 2015. The results show that the liquidity spillovers across nine major foreign exchange markets increase with global risk and funding constraint. We also find a substantial difference in the propagation pattern of liquidity between the funding currencies and investment currencies markets.

Keywords: Liquidity spillovers; European debt crisis; Global financial crisis; Market risk (search for similar items in EconPapers)
JEL-codes: C22 F31 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
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:

DOI: 10.1016/

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2022-11-19
Handle: RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001860