|
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
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Bubák, Vít | | en_US |
| dc.contributor.author | | Kocenda, Evézen | | en_US |
| dc.contributor.author | | Zikes, Filip | | en_US |
| dc.date.accessioned | | 2010-06-04 | | en_US |
| dc.date.accessioned | | 2010-08-18T11:19:15Z | | - |
| dc.date.available | | 2010-08-18T11:19:15Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/38997 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | CESifo München | | en_US |
| dc.relation.ispartofseries | | CESifo working paper Monetary Policy and International Finance 3063 | | en_US |
| dc.subject.jel | | C50 | | en_US |
| dc.subject.jel | | F31 | | en_US |
| dc.subject.jel | | G15 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | foreign exchange markets | | en_US |
| dc.subject.keyword | | volatility | | en_US |
| dc.subject.keyword | | spillovers | | en_US |
| dc.subject.keyword | | intraday data | | en_US |
| dc.subject.keyword | | nonlinear dynamics | | en_US |
| dc.subject.stw | | Wechselkurs | | en_US |
| dc.subject.stw | | Euro | | en_US |
| dc.subject.stw | | US-Dollar | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Spillover-Effekt | | en_US |
| dc.subject.stw | | Internationaler Preiszusammenhang | | en_US |
| dc.subject.stw | | Devisenmarkt | | en_US |
| dc.subject.stw | | Aufstrebende Märkte | | en_US |
| dc.subject.stw | | Ostmitteleuropa | | en_US |
| dc.title | | Volatility transmission in emerging European foreign exchange markets | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 627393586 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|