Effect of exchange rate return on volatility spill-over across trading regions

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• 作者：Don U.A. Galagederaup>aup>up> ; up>up>Tissa.Galagedera@buseco.monash.edu.auup> ; Yoshihiro Kitamuraup>bup>up> ; up>up>kitamura@waseda.jpup>
• 关键词：Exchange rate ; Volatility spill-over ; High-frequency data
• 刊名：Japan and the World Economy
• 出版年：2012
• 出版时间：December, 2012
• 年：2012
• 卷：24
• 期：4
• 页码：254-265
• 全文大小：894 K

文摘

This paper examines the effect of realized exchange rate returns on the volatility spill-over between the euro-US dollar and US dollar-yen currency pairs across the five trading regions: Asia, Asia-Europe overlap, Europe, Europe-America overlap and America. Modelling the interaction between returns and volatility in an autoregressive five-equation system, we find evidence that depreciation of the US dollar against the yen has a greater impact on the US dollar-yen volatility spill-over than appreciation in the subprime crisis period. Appreciation and depreciation of the US dollar against the euro does not appear to have an asymmetric effect on the euro-US dollar volatility spill-over. Our results support the notion that the yen may have been preferred to the euro as a ¡®safe-haven¡¯ currency relative to the US dollar during the subprime crisis period.