Title: Asymmetric volatility connectedness on forex markets
Authors: Lukas Vacha - Institute of Information Theory and Automation of the CAS (Czech Republic) [presenting]
Jozef Barunik - UTIA AV CR vvi (Czech Republic)
Evzen Kocenda - Charles University (Czech Republic)
Abstract: How bad and good volatility propagate through forex markets is shown, i.e. we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007-2015 we document the dominating asymmetries in spillovers that are due to bad rather than good volatility. We also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in Europe while positive spillovers are correlated with the subprime crisis, different monetary policies among key world central banks, and developments on commodities markets. It seems that a combination of monetary and real-economy events is behind the net positive asymmetries in volatility spillovers, while fiscal factors are linked with net negative spillovers.