Albrecht, Peter and Kocenda, Evzen (2024) Volatility connectedness on the central European forex markets. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 93: 103179. ISSN 1057-5219, 1873-8079
Full text not available from this repository. (Request a copy)Abstract
We perform a comprehensive assessment of volatility connectedness between the currencies of Central European (CE) countries using high -frequency data from 2009 to 2022. We provide evidence of asymmetries in connectedness that are dominated by negative volatility, especially during periods of economic distress. We also detect statistically significant economic or political events that lead to increased volatility connectedness. Plus, we document the impact of global shocks, not local ones. Further, the existing lag in the response of the spillover index to stressful events offers an opportunity to effectively hedge foreign exchange risk and to use the CE currencies as hedging tools. Finally, in terms of market -specific factors, liquidity dominates uncertainty as a connectedness driver. Our results are robust with respect to volatility measures and provide direct policy implications for portfolio composition and hedging.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | SPILLOVERS; POLICY; TRANSMISSION; UNCERTAINTY; RETURN; F65; G01; G15; Volatility connectedness; Central European currencies; Asymmetries in volatility connectedness; Bootstrap -after -bootstrap procedure; Portfolio composition and hedging |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Institute for East and Southeast European Studies (IESES) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 04 Dec 2025 06:04 |
| Last Modified: | 04 Dec 2025 06:04 |
| URI: | https://pred.uni-regensburg.de/id/eprint/65036 |
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