Nefzi, Nourhaine; Melki, Abir - In: Borsa Istanbul Review 23 (2023) 3, pp. 748-758
negative, but, during the Covid-19 pandemic, the carry trade is the main net transmitter of volatility to all markets. Our … paper investigates the extent to which shocks in capital flows driven by interest-rate differentials affect financial … markets. Following the framework of Diebold and Yilmaz (2012), we find that dynamic spillovers alternate between positive and …