Risk transmitters and receivers in global currency markets

Syed Jawad Hussain Shahzad, Jose Arreola-Hernandez, Stelios Bekiros and Mobeen Ur Rehman
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Syed Jawad Hussain Shahzad: Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School
Jose Arreola-Hernandez: ESC [Rennes] - ESC Rennes School of Business
Mobeen Ur Rehman: Shaheed Zulfiqar Ali Bhutto Institute of Science & Technology, Karachi
Authors registered in the RePEc Author Service: Jose Arreola Hernandez

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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)
Date: 2018-06
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Citations: View citations in EconPapers (9)

Published in Finance Research Letters, 2018, 25, pp.1 - 9. ⟨10.1016/j.frl.2017.09.018⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01814274

DOI: 10.1016/j.frl.2017.09.018

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