Event-driven changes in volatility connectedness in global forex markets

IF 4 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2025-01-02 DOI:10.1016/j.mulfin.2024.100896

Peter Albrecht , Evžen Kočenda

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引用次数: 0

Abstract

Using novel methods, we comprehensively analyze volatility connectedness among most traded currencies using high-frequency data from 2009 to 2023. Our study presents the first empirical evidence of a statistically significant association between increases in connectedness and endogenously selected impactful events for most traded currencies. Moreover, we uncover the previously unexplored relationship between twenty-three events affecting global forex connectedness up to one business month ahead and further analyze pre-event connectedness changes. We also distinguish between the transitory and permanent impacts of events on connectedness and confirm the association of four events with a permanent shift in connectedness; two events are associated with the EU and US debt crises. We compute the portfolio weights and hedge ratios for portfolio optimization and uncover the Swiss franc and Japanese yen as the most suitable tools for managing currency risk. The effects of intra-day currency depreciation versus appreciation against the U.S. dollar differ significantly, but the extent of asymmetries declines over time.

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全球外汇市场波动连通性的事件驱动变化

采用新颖的方法，利用2009年至2023年的高频数据，全面分析了大多数交易货币的波动连通性。我们的研究首次提供了实证证据，证明大多数交易货币的连通性增加与内生选择的影响事件之间存在统计学上显著的关联。此外，我们揭示了影响全球外汇连通性的23个事件之间之前未被探索的关系，并进一步分析了事件前的连通性变化。我们还区分了事件对连通性的短暂影响和永久影响，并确认了四个事件与连通性永久变化的关联；有两件事与欧盟和美国的债务危机有关。我们计算了投资组合权重和对冲比率，以优化投资组合，并发现瑞士法郎和日元是最适合管理货币风险的工具。当日货币贬值与对美元升值的影响有很大不同，但不对称的程度随着时间的推移而下降。

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 Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. 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. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.