作者: Juan C. Reboredo , Miguel A. Rivera-Castro , Andrea Ugolini
DOI: 10.1016/J.JBANKFIN.2015.10.011
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摘要: We examined downside and upside risk spillovers from exchange rates to stock prices and vice versa for a set of emerging economies. We characterized the dependence structure between currency and stock returns using copulas and computed downside and upside value-at-risk and conditional value-at-risk. We documented a positive relationship between stock prices and currency values in emerging economies with respect to the US dollar and the euro, with downside and upside spillover risk effects transmitted both ways. Finally, we …