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Exchange Market Volatility Spillover in Time of Crisis: Evidence from a Smooth Transition Regression Application

Hassen Raïs ()
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Hassen Raïs: Associate Professor of Finance, ESSCA School of Management

Chapter Chapter 4 in Crises and Uncertainty in the Economy, 2022, pp 71-80 from Springer

Abstract: Abstract This article analyses the relationship between financial markets and the exchange rate volatility. These spillovers are likely to be exacerbated during crisis periods with different effects geography and economy. The possibility of nonlinearities is introduced by running smooth transition regressions over a sample of 15 countries during the period from January 2005 to December 2018. The results confirm that exchange rate volatility does increase more than proportionally with the global financial stress, for emerging countries than developing ones. The regional contagion effects spread from one currency to other currencies in the neighboring area.

Keywords: Financial markets; Nonlinear; Volatility; Crisis; Uncertainty (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/978-981-19-3296-0_4

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