Spillovers in exchange rates and the effects of global shocks on emerging market currencies

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dc.contributor.author Kavli, Haakon
dc.contributor.author Kotze, Kevin
dc.date.accessioned 2015-11-13T08:45:13Z
dc.date.available 2015-11-13T08:45:13Z
dc.date.issued 2014-06
dc.description.abstract This paper provides an investigation into the spillover effects of exchange rate returns and volatility for developed and emerging market currencies, using data from 1997 to 2011. The results suggest that spillovers in exchange rate returns have increased steadily over time, in moderate reaction to economic events. In contrast, spillovers in total observed volatility (measured by squared returns) react more strongly to economic events, and this transmission has remained at a relatively high level since the global financial crisis. Furthermore, over the course of time, global shocks would appear to account for a larger proportion of aggregate exchange rate volatility (and the relative importance of domestic shocks has declined). The paper also considers whether the increase in volatility spillover is due to sudden shocks, or whether it is due to changes in the stochastic trend of the underlying volatility process. The results suggests that in most cases, this increase is due to sudden shocks, however, in certain instances country-specific events may perpetuate changes to the trend of the underlying volatility spillover. en_ZA
dc.description.librarian hb2015 en_ZA
dc.description.uri http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1813-6982 en_ZA
dc.identifier.citation Kavli, H & Kotze, K 2014, 'Spillovers in exchange rates and the effects of global shocks on emerging market currencies', South African Journal of Economics, vol. 82, no. 2, pp. 209-238. en_ZA
dc.identifier.issn 0038-2280 (print)
dc.identifier.issn 1813-6982 (online)
dc.identifier.other 10.1111/saje.12023
dc.identifier.uri http://hdl.handle.net/2263/50456
dc.language.iso en en_ZA
dc.publisher Wiley en_ZA
dc.rights © 2013 Economic Society of South Africa. This is the pre-peer reviewed version of the following article : Spillovers in exchange rates and the effects of global shocks on emerging market currencies, South African Journal of Economics, vol. 82, no. 2, pp. 209-238, 2014. doi : 10.1111/saje.12023. The definite version is available at : http://onlinelibrary.wiley.comjournal/10.1111/(ISSN)1813-6982. en_ZA
dc.subject Spillovers en_ZA
dc.subject Cholesky decompositions en_ZA
dc.subject Foreign exchange en_ZA
dc.subject Emerging markets en_ZA
dc.subject Global shocks en_ZA
dc.subject Stochastic volatility en_ZA
dc.subject Sequential Monte Carlo methods en_ZA
dc.subject Non-linear filters en_ZA
dc.title Spillovers in exchange rates and the effects of global shocks on emerging market currencies en_ZA
dc.type Postprint Article en_ZA


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