2023
DOI: 10.1007/s00181-023-02436-4
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Key market identification, mechanism transmission, and extreme shock during the risk spillover process: an empirical study of the G20 FOREX markets

Abstract: The role of the G20 in global governance has been increasingly prominent in the context of the extensive spread of coronavirus disease 2019 and the aggravation of financial risk contagion. Detecting the risk spillovers among the G20 FOREX markets is crucial to maintain financial stability. Therefore, this paper first adopts a multi-scale approach to measure the risk spillovers among the G20 FOREX markets from 2000 to 2022. Furthermore, the key markets, the transmission mechanism, and the dynamic evolution are … Show more

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