Exchange return co-movements and volatility spillovers before and after the introduction of euro

Nikolaos Antonakakis

Journal of International Financial Markets, Institutions and Money, 2012, vol. 22, issue 5, 1091-1109

Abstract: This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility spillovers, however, their extend is, on average, lower in the post-euro period. Co-movements and spillovers are positively associated with extreme episodes and US dollar appreciations. The euro (Deutsche mark) is the dominant net transmitter of volatility, while the British pound the dominant net receiver of volatility in both periods. Nevertheless, cross-market volatility spillovers are bidirectional, and the highest spillovers occur between European markets.

Keywords: Exchange returns co-movement; Volatility spillover; VAR; Variance decomposition; Multivariate GARCH (search for similar items in EconPapers)
JEL-codes: C32 F31 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (135)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:22:y:2012:i:5:p:1091-1109

DOI: 10.1016/j.intfin.2012.05.009

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