Long run trends and volatility spillovers in daily exchange rates
Recent evidence has suggested that a model capable of capturing multiple volatility dynamics best describes daily exchange rate volatility. Estimation of a model that can capture long-run and short-run volatility movement also allows issues relating to financial and economic integration between countries to be examined. More specifically, the long-run component for comovement can be examined and spillover effects tested for in mean and volatility, the latter of which is suggestive of policy co-ordination. Using a series of dollar exchange rates supportive evidence is reported of a long-run/short-run decomposition for volatility, and existence of three long-run volatility trends, one for the European series and a trend each for the non-European series. Further, significant volatility spillovers are reported, notably amongst the European series. These results are thus supportive of increased convergence between these economies.
Year of publication: |
2004
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Authors: | Black, Angela ; McMillan, David |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 14.2004, 12, p. 895-907
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Publisher: |
Taylor & Francis Journals |
Saved in:
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