کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
11031335 1646022 2018 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Currency downside risk, liquidity, and financial stability
ترجمه فارسی عنوان
خطر ریسک نقدینگی، نقدینگی و ثبات مالی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We estimate volatility- and quantile (depreciation)-based spillovers across 20 global currencies against the US Dollar. In so doing, we reveal significant asymmetries in the propagation of risk across global currency markets. The quantile-based statistic reacts more significantly to events that have a sizable impact on FX markets (e.g. Brexit vote and the FX crash following the subprime crisis), which are missed by the volatility-based statistic. As such, our tail-spillover estimates constitute a new financial stability index for the FX market. This index has the advantages of being easy to build, of not requiring intraday data and of being more informative about currency crises and pressures than traditional spillover statistics based on volatilities. Finally, we also document differences in the relation between liquidity and volatility (quantile) spillovers.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 89, December 2018, Pages 83-102
نویسندگان
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