Exchange return co-movements and volatility spillovers before and after the introduction of euro

► We examine return co-movements and volatility spillovers between major exchange rates in the pre- and post-euro period. ► Co-movements and spillovers are, on average, lower in the post-euro period. ► Co-movements and spillovers are positively associated with extreme economic episodes and US dollar appreciations. ► The euro (Deutsche mark) is the dominant net transmitter of volatility, while the British pound the dominant net receiver of volatility. ► Cross-market volatility spillovers are bidirectional.