Risk transmitters and receivers in global currency markets
Title: Risk transmitters and receivers in global currency markets
Citation: Finance research letters, 2017, OnlineFirst
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.
Subject: Quantile-on-quantile causality; Currency markets; C1; G15
Published online: 29 September 2017
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