Risk and return spillovers among developed and emerging market currencies

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2025-01-01 DOI:10.1016/j.intfin.2024.102086

Matthew Greenwood-Nimmo , Daan Steenkamp , Rossouw van Jaarsveld

引用次数: 0

Abstract

We develop a network model capturing the dynamic interactions among foreign exchange (FX) returns and realized risk measures for 20 developed market (DM) and emerging market (EM) currencies. We show that DM currencies are more integrated within the network than EM currencies on average and tend to become more dependent on external conditions over time. Spillovers between DMs and EMs evolve more rapidly than spillovers within DMs and within EMs and are a major contributor to overall spillover dynamics. Auxiliary regressions reveal that the net DM-to-EM spillover comoves with global factors known to drive EM capital flows.

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发达和新兴市场货币之间的风险和回报溢出效应

我们开发了一个网络模型，捕捉20种发达市场（DM）和新兴市场（EM）货币的外汇（FX）回报和已实现风险指标之间的动态相互作用。我们发现，平均而言，新兴市场货币在网络中的整合程度高于新兴市场货币，并且随着时间的推移，它们往往更依赖外部条件。发展中国家和新兴市场之间的溢出效应比发展中国家和新兴市场之间的溢出效应发展得更快，是总体溢出效应的主要因素。辅助回归显示，新兴市场资本净溢出效应与推动新兴市场资本流动的全球因素一致。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.