|
EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/38997
|
| | |
| Title: | | Volatility transmission in emerging European foreign exchange markets  |
| Authors: | | Bubák, Vít Kocenda, Evézen Zikes, Filip |
| Issue Date: | | 2010 |
| Series/Report no.: | | CESifo working paper Monetary Policy and International Finance 3063 |
| Abstract: | | This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well as on the lagged realized volatilities of the other exchange rates. We find evidence of statistically significant intra-regional volatility spillovers among the Central European foreign exchange markets. With the exception of the Czech currency, we find no significant spillovers running from euro/dollar to the Central European foreign exchange markets. To measure the overall magnitude and evolution of volatility transmission over time, we construct a dynamic version of the Diebold-Yilmaz volatility spillover index, and show that volatility spillovers tend to increase in periods characterized by market uncertainty. |
| Subjects: | | foreign exchange markets volatility spillovers intraday data nonlinear dynamics |
| JEL: | | C50 F31 G15 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/38997
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|