Template-type: ReDIF-Paper 1.0  
Author-Name: Fernando Fernández-Rodríguez
Author-Email: ffernandez@dmc.ulpgc.es
Author-Workplace-Name: Department of Quantitative Methods in Economics, Universidad de Las Palmas de Gran Canaria. Instituto 
	Complutense de Estudios Internacionales (ICEI). Universidad Complutense de Madrid.
Author-Name: Simón Sosvilla-Rivero
Author-Email: sosvilla@ccee.ucm.es
Author-Workplace-Name: Instituto Complutense de Estudios Internacionales (ICEI). Universidad Complutense de Madrid.
Title: Volatility transmission between stock and exchange-rate markets: A connectedness analysis
Abstract: This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world 
	economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measure 
	the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by 
	Diebold and Yilmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each 
	market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the 
	financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total 
	variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we 
	find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial 
	instability.
Classification-JEL:
 C53, E44, F31, G15.
Keywords:
 Stock markets, Exchange rates, Market Linkages, Vector Autoregression, Variance Decomposition.
Creation-Date: 2016 
Length: 30 pages
Number: 1604
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/wpaper16-04.txt
File-URL: https://eprints.ucm.es/id/eprint/40762/1/WP04-16.pdf
File-Format: Application/pdf
File-Function: Full text
Handle: RePEc:ucm:wpaper:1604