The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets

Costas Karfakis () and Theodore Panagiotidis
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Costas Karfakis: Department of Economics, University of Macedonia, Greece, http://www.uom.gr/index.php?newlang=eng&tmima=3&categorymenu=2

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: This study examines first the effects of financial market turmoil in the fall of 2008 on the conditional correlations between three exchange rate returns (USD/EUR, JPY/USD, USD/GBP), and then the effects of quantitative easing programs and Greek debt crisis on the entire distribution of estimated correlations. The dynamic correlations have sharply increased during the period that followed the collapse of Lehman Brothers, indicating a financial contagion across currency markets. The quantitative easing programs of the Federal Reserve and the Bank of England have affected the conditional correlations between the currency pairs. Finally, the Greek debt crisis has emerged as the most significant covariate of the quantile regressions..

Keywords: Currency markets; quantitative easing; GARCH; dynamic conditional correlation; quantile regression. (search for similar items in EconPapers)
JEL-codes: C32 F31 G15 (search for similar items in EconPapers)
Date: 2014-09, Revised 2014-09
New Economics Papers: this item is included in nep-cba and nep-mon
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Journal Article: The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets (2015)
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