期刊
JOURNAL OF FINANCIAL MARKETS
卷 31, 期 -, 页码 43-62出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.finmar.2016.05.001
关键词
Foreign exchange markets; Risk-neutral volatility; Risk-neutral skewness; Spillovers; Coordinated crash risk
资金
- Faculty of Business and Economics at the University of Melbourne
We study spillovers among daily returns and innovations in the option-implied risk-neutral volatility and skewness of the G10 currencies. Using an empirical network model, we uncover substantial time variation in the interaction of returns and risk measures, both within and between currencies. We find that aggregate spillover intensity is countercyclical with respect to the federal funds rate and increases in periods of financial stress. Cross-currency spillovers of volatility-and especially of skewness increase in times of stress, reflecting greater systematic risk. Similarly, in such times, returns become more sensitive to risk measures and vice versa. (C) 2016 Elsevier B.V. All rights reserved.
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