Version 1
: Received: 20 May 2021 / Approved: 24 May 2021 / Online: 24 May 2021 (12:42:54 CEST)
Version 2
: Received: 7 June 2021 / Approved: 8 June 2021 / Online: 8 June 2021 (13:03:39 CEST)
Mohammed, W.A. Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. J. Risk Financial Manag.2021, 14, 270.
Mohammed, W.A. Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. J. Risk Financial Manag. 2021, 14, 270.
Mohammed, W.A. Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. J. Risk Financial Manag.2021, 14, 270.
Mohammed, W.A. Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. J. Risk Financial Manag. 2021, 14, 270.
Abstract
In this paper, we investigate the “statics and dynamics” return and volatility spillovers transmission across developed and developing countries. Quoted against the U.S. dollar, we study twenty-three global currencies over 2005 – 2016. Focusing on the spillover index methodology, the generalised VAR framework is employed. Our findings indicate no evidence of bi-directional return and volatility spillovers between developed and developing countries. However, a unidirectional volatility spillover from developed to developing countries is highlighted. Furthermore, our findings document significant bi-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British Pound (GBP) and the Euro (EUR) as the most significant transmitters of volatility. The findings reiterate the prominence of volatility spillovers to financial regulators.
Business, Economics and Management, Accounting and Taxation
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
