Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies

This paper provides a rigorous investigation of spillover effects in exchange rate returns and volatility. It considers the construction of a spillover index for advanced and emerging market currencies including the South African rand. The results suggest that the spillover index of exchange rate returns have increased steadily over time and that it exhibits moderate reactions to economic events. In contrast, spillovers in total observed volatility (measured by squared returns) display evidence of considerable reactions to economic events and no apparent change in the trend.

Grantor dc:publisher.institution

School of Economics

Year dc:date.issued

2012

Author dc:creator

• Vavli, Hakon

Advisor dc:contributor.advisor

• Kotze, Kevin

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10845

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10845