Author (Person) | (et al.), , Bubák, Vít |
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Series Title | CESifo Working Papers |
Series Details | No. 3063, May 2010 |
Publication Date | 2010 |
Content Type | Journal | Series | Blog |
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. |
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Source Link | http://www.cesifo-group.de/portal/pls/portal/docs/1/1185510.PDF |
Countries / Regions | Europe |
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