Article ID Journal Published Year Pages File Type
7351972 Finance Research Letters 2018 20 Pages PDF
Abstract
We implement a robust multi-scenario cross-quantilogram network approach to examine the strength and direction of interdependencies and spillover transmission among 25 developed, emerging, Middle Eastern and North African (MENA) FX markets. We find evidence of statistically significant risk transmission and reception between numerous FX rates that varies under different market states i.e., bearish, normal and bullish. The currencies of develop markets act mainly as spillover transmitter, while those with lower currency values are spillover receivers. Implications of the results are discussed.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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