Overnight exchange rate risk based on multi-quantile and joint-shock CAViaR models

Peng, Wei; Zeng, Yu-feng

doi:10.1016/j.econmod.2018.11.023

Economic Modelling

2019

DOI: 10.1016/j.econmod.2018.11.023

|View full text |Cite

Overnight exchange rate risk based on multi-quantile and joint-shock CAViaR models

Wei Peng

Yu-feng Zeng

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2022

2023

Publication Types

Select...

Article5

Relationship

Self Cite0

Independent5

Authors

Journals

Cited by 6 publications

(1 citation statement)

References 23 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Besides, the dollar index is a comprehensive indicator reflecting the exchange rate of the US dollar in the international foreign exchange market, which is widely used to measure the exchange rate change of the US dollar against a basket of currencies. Based on Dimitriou et al ( 2017 ) and Peng and Zeng ( 2019 ), this paper also uses the dollar index as a proxy for the exchange rate of the US dollar.…”

mentioning

confidence: 99%

Key market identification, mechanism transmission, and extreme shock during the risk spillover process: an empirical study of the G20 FOREX markets

et al. 2023

View full text Add to dashboard Cite

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 researched based on the network analysis. We derive the following findings: (1) The magnitude and volatility of the total risk spillover index of the G20 countries are highly associated with extreme global events. (2) The magnitude and volatility of risk spillovers among the G20 countries are asymmetric in the different extreme global events. (3) The key markets in the risk spillover process are identified, and the USA always occupies a core position in the G20 FOREX risk spillover networks. (4) In the core clique, the risk spillover effect is obviously high. In the clique hierarchy, as the risk spillover effect is transmitted downward, the risk spillovers present the decrease trends. (5) The density, transmission, reciprocity, and clustering degrees in the G20 risk spillover network during the COVID-19 period are much higher than that in other periods.

show abstract

mentioning

confidence: 99%

Key market identification, mechanism transmission, and extreme shock during the risk spillover process: an empirical study of the G20 FOREX markets

et al. 2023

View full text Add to dashboard Cite

show abstract

The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds' sectors

Deng

Wang

et al. 2022

Economic Modelling

View full text Add to dashboard Cite

How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies

Wang

Huang

2023

Economic Modelling

View full text Add to dashboard Cite

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Overnight exchange rate risk based on multi-quantile and joint-shock CAViaR models

Cited by 6 publications

References 23 publications

Key market identification, mechanism transmission, and extreme shock during the risk spillover process: an empirical study of the G20 FOREX markets

Key market identification, mechanism transmission, and extreme shock during the risk spillover process: an empirical study of the G20 FOREX markets

The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds' sectors

How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies

Contact Info

Product

Resources

About