Are volatility spillovers between currency and equity market driven by economic states? Evidence from the US economy
作者： Klaus Grobys
DOI: 10.1016/J.ECONLET.2014.12.034
关键词:
摘要: This study examines the volatility spillovers between foreign exchange rate markets of three USA’s major trading partners and US stock market, utilizing forecast-error variance decomposition framework a VAR model proposed by Diebold Yilmaz (2009). The empirical results, based on data set covering period 1986–2014 suggest that level total spillover effects is high only when they precede periods economic turbulence. If economy quiet, are virtually non-existent.
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