Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies
type: CreativeWork
description: 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.
abstract: 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.
author: Vavli, Hakon
language: eng
date published: 2012
date modified: 2026-07-22T22:23:19Z
provider: University of Cape Town
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: School of Economics

PropertyValue
property ID: Handle
value: http://hdl.handle.net/11427/10845