Currency downside risk, liquidity, and financial stability

Helena Chuliá, Julián Fernández, Jorge M. Uribe

Producción: Contribución a una revistaArtículorevisión exhaustiva

13 Citas (Scopus)

Resumen

We estimate volatility- and quantile (depreciation)-based spillovers across 20 global currencies against the US Dollar. In so doing, we reveal significant asymmetries in the propagation of risk across global currency markets. The quantile-based statistic reacts more significantly to events that have a sizable impact on FX markets (e.g. Brexit vote and the FX crash following the subprime crisis), which are missed by the volatility-based statistic. As such, our tail-spillover estimates constitute a new financial stability index for the FX market. This index has the advantages of being easy to build, of not requiring intraday data and of being more informative about currency crises and pressures than traditional spillover statistics based on volatilities. Finally, we also document differences in the relation between liquidity and volatility (quantile) spillovers.

Idioma originalInglés
Páginas (desde-hasta)83-102
Número de páginas20
PublicaciónJournal of International Money and Finance
Volumen89
DOI
EstadoPublicada - dic. 2018
Publicado de forma externa

Huella

Profundice en los temas de investigación de 'Currency downside risk, liquidity, and financial stability'. En conjunto forman una huella única.

Citar esto