Currency downside risk, liquidity, and financial stability
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...
| Autores: | , , |
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| Formato: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2018 |
| País: | España |
| Recursos: | Universidad de Barcelona |
| Repositorio: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/127759 |
| Acesso em linha: | https://hdl.handle.net/2445/127759 |
| Access Level: | acceso abierto |
| Palavra-chave: | Canvi exterior Risc (Economia) Estabilitat Liquiditat (Economia) Gestió financera Foreign exchange Risk Stability Liquidity (Economics) Financial management |
| Resumo: | 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. |
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