Risk transmitters and receivers in global currency markets

HUSSAIN, Syed J.; ARREOLA HERNANDEZ, Jose; BEKIROS, Stelios D.; REHMAN, Mobeen U.

doi:10.1016/j.frl.2017.09.018

2018

Article

HUSSAIN, Syed J.; ARREOLA HERNANDEZ, Jose; BEKIROS, Stelios D.

; REHMAN, Mobeen U.

Finance research letters, 2018, Vol. 25, pp. 1-9

Cite

HUSSAIN, Syed J., ARREOLA HERNANDEZ, Jose, BEKIROS, Stelios D., REHMAN, Mobeen U., Risk transmitters and receivers in global currency markets, Finance research letters, 2018, Vol. 25, pp. 1-9 - https://hdl.handle.net/1814/49805

Retrieved from Cadmus, EUI Research Repository

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.

Additional information:

Published online: 29 September 2017

Cadmus permanent link: https://hdl.handle.net/1814/49805

Full-text via DOI: 10.1016/j.frl.2017.09.018

ISSN: 1544-6123

Publisher: Elsevier

Keyword(s): Quantile-on-quantile causality Currency markets C1 G15

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