The global transmission of volatility in the foreign exchange market

被引：66

作者：

Melvin, M

Melvin, BP ^{[1
]}

机构：

[1] Arizona State Univ, Tempe, AZ 85287 USA

[2] Amer Express Co, Jersey City, NJ USA

来源：

REVIEW OF ECONOMICS AND STATISTICS | 2003年 / 85卷 / 03期

关键词：

D O I：

10.1162/003465303322369803

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Volatility spillovers of the DM/$ and Y/$ exchange rate across regional markets are examined using the integrated volatility of high-frequency data. An analysis of quoting patterns reveals five distinct regions: Asia, Asia-Europe overlap, Europe, Europe-America overlap, and America. After reviewing theoretical foundations for persistence of volatility in dealership markets, regional volatility models are constructed where volatility in one region is a function of yesterday's volatility in that region ("heat-wave effect") and volatility in other regions ("meteor-shower effect"). Evidence of statistically significant effects is found for both own-region and interregional spillovers, but the economic significance of own-region spillovers indicates that heat waves are more important than meteor showers.

引用

页码：670 / 679

页数：10

共 22 条

[11] METEOR-SHOWERS OR HEAT WAVES - HETEROSKEDASTIC INTRADAILY VOLATILITY IN THE FOREIGN-EXCHANGE MARKET [J].

ENGLE, RF ;

ITO, T ;

LIN, WL .

ECONOMETRICA, 1990, 58 (03) :525-542

[12]

GOODHART C, 1993, MICROSTRUCTURE FOREI, P107

[13]

Guillaume D., 1997, Finance and Stochastics, V1, P95, DOI [10.1007/s007800050018, DOI 10.1007/S007800050018]

[14] SOURCES OF METEOR-SHOWERS AND HEAT WAVES IN THE FOREIGN-EXCHANGE MARKET [J].

HOGAN, KC ;

MELVIN, MT .

JOURNAL OF INTERNATIONAL ECONOMICS, 1994, 37 (3-4) :239-247

[15] Is there private information in the FX market? The Tokyo experiment [J].

Ito, T ;

Lyons, RK ;

Melvin, MT .

JOURNAL OF FINANCE, 1998, 53 (03) :1111-1130

[16] WHERE DOES THE METEOR-SHOWER COME FROM - THE ROLE OF STOCHASTIC POLICY COORDINATION [J].

ITO, T ;

ENGLE, RF ;

LIN, WL .

JOURNAL OF INTERNATIONAL ECONOMICS, 1992, 32 (3-4) :221-240

[17] CONTINUOUS AUCTIONS AND INSIDER TRADING [J].

KYLE, AS .

ECONOMETRICA, 1985, 53 (06) :1315-1335

[18] Public information arrival, exchange rate volatility, and quote frequency [J].

Melvin, M ;

Yin, XX .

ECONOMIC JOURNAL, 2000, 110 (465) :644-661

[19]

Muller U. A., 1997, J EMPIR FINANC, V4, P213, DOI DOI 10.1016/S0927-5398(97)00007-8

[20] STATISTICAL STUDY OF FOREIGN-EXCHANGE RATES, EMPIRICAL-EVIDENCE OF A PRICE CHANGE SCALING LAW, AND INTRADAY ANALYSIS [J].

MULLER, UA ;

DACOROGNA, MM ;

OLSEN, RB ;

PICTET, OV ;

SCHWARZ, M ;

MORGENEGG, C .

JOURNAL OF BANKING & FINANCE, 1990, 14 (06) :1189-1208

← 1 2 3 →