0478477 20240103214544.120170925235959.9 85030483421 000410677200003 10.1016/j.jimonfin.2017.06.003 Asymmetric volatility connectedness on the forex market 18 s. P cav_un_epca*02512820261-5606Journal of International Money and Finance771 (2017)39-56Elsevier volatility connectedness asymmetric effects cav_un_auth*0242028 Ekonometrie Department of Econometrics E E Department of Econometrics Baruník Jozef UTIA-B CZ K Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0312139 Ekonometrie Department of Econometrics E E Department of Econometrics Kočenda Evžen UTIA-B CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101217 Ekonometrie Department of Econometrics E E Department of Econometrics Vácha Lukáš UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2017/E/barunik-0478477.pdf cav_un_auth*0350251 GA16-14179S GA ČR CZ We show how bad and good volatility propagate through the forex market, i.e., we provide evidence for asymmetric volatility connectedness on the forex market. Using high- frequency, intra-day data of the most actively traded currencies over 2007–2015 we doc- ument 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, dif- ferent monetary policies among key world central banks, and developments on commodi- ties markets. It seems that a combination of monetary and real-economy events is behind the positive asymmetries in volatility spillovers, while fiscal factors are linked with nega- tive spillovers. AH 50000 50200 50206 2018 3 4 A hod 4ah 20231122142653.7 RVO:67985556 http://hdl.handle.net/11104/0274598 cav_un_auth*0308308 Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague IES FSV UK CZ 1 Department of Econometrics UTIA-B 50202 ECONOMICS S 1* Article Business Finance 1* Article Business Finance 1* Article Business Finance BUSINESS.FINANCE 2.418 0.4 8.3 0.00752 0.906 3958 1.608 1.342 120 Q2 65.805 65.8 Q2 Q1 1.44 Q1 65.816 2017 Soubory v repozitáři: barunik-0478477.pdf 85030483421 SCOPUS PUBMED 000410677200003 WOS cav_un_epca*0251282 Journal of International Money and Finance 0261-5606 1873-0639 Roč. 77 č. 1 2017 39 56 Elsevier