Are Volatility Spillovers Between Currency And Equity Market Driven By Economic States Evidence From The Us Economy

Download or read book Are Volatility Spillovers Between Currency and Equity Market Driven by Economic States? Evidence from the US Economy written by Klaus Grobys and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the volatility spillovers between the foreign exchange rate markets of three of the USA's major trading partners and the US stock market, utilizing the forecast-error variance decomposition framework of a VAR model proposed by Diebold and Yilmaz (2009). The empirical results, based on a data set covering the period 1986-2014 suggest that the level of total volatility spillover effects is high only when they precede periods of economic turbulence. If the economy is quiet, volatility spillover effects are virtually non-existent.