کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5100704 1478934 2016 40 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Risk and return spillovers among the G10 currencies
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Risk and return spillovers among the G10 currencies
چکیده انگلیسی
We study spillovers among daily returns and innovations in the option-implied risk-neutral volatility and skewness of the G10 currencies. Using an empirical network model, we uncover substantial time variation in the interaction of returns and risk measures, both within and between currencies. We find that aggregate spillover intensity is countercyclical with respect to the federal funds rate and increases in periods of financial stress. Cross-currency spillovers of volatility and especially of skewness increase in times of stress, reflecting greater systematic risk. Similarly, in such times, returns become more sensitive to risk measures and vice versa.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 31, November 2016, Pages 43-62
نویسندگان
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