Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises

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• 作者：Henry Leung^a ; ^{henry.leung@sydney.edu.au} ; Dirk Schiereck^b ; ^{schiereck@bwl.tu-darmstadt.de} ; Florian Schroeder^c ; ^{florian.schroeder@students.mq.edu.au}
• 关键词：G12 ; G14
• 刊名：Economic Modelling
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：61
• 期：Complete
• 页码：169-180
• 全文大小：553 K
• 卷排序：61

文摘

General increase in spillover between equity and exchange rate markets. Pure contagion and fundamental contagion explains the increased spillover. Increased spillover between FTSE 100, N225 to DJI during global financial crisis. Increased spillover from exchange rate markets to DJI during euro debt crisis.