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首页> 外文期刊>Journal of Financial Economic Policy >Evidence of leverage effects and volatility spillover among exchange rates of selected emerging and growth leading economies
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Evidence of leverage effects and volatility spillover among exchange rates of selected emerging and growth leading economies

机译：选定的新兴经济体和增长领先经济体的汇率之间的杠杆效应和波动性溢出的证据

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Purpose - The purpose of this study is to examine the evidences of leverage effects on the conditional volatility of exchange rates because of asymmetric innovations and its spillover effects among the exchange rates of selected emerging and growth-leading economies. Design/methodology/approach - The empirical analysis uses the sign bias test and asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models to capture the leverage effects on conditional volatility of exchange rates and also uses multivariate GARCH (MGARCH) model to address volatility spillovers among the studied exchange rates. Findings - The study finds substantial impact of asymmetric innovations (news) on the conditional volatility of exchange rates, where Russian Ruble is showing significant leverage effect followed by Indian Rupee. The exchange rates depict significant mean spillover effects, where Rupee, Peso and Ruble are strongly connected; Real, Rupiah and Lira are moderately connected; and Yuan is the least connected exchange rate within the sample The study also finds the assimilation of information in foreign exchanges and increased spillover effects in the post 2008 periods. Practical implications - The results probably have the implications for international investment and asset management. Portfolio managers could use this research to optimize their international portfolio. Policymakers such as central banks may find the study useful to monitor and design interventions strategies in foreign exchange markets keeping an eye on the nature of movements among these exchange rates. Originality/value - This is one of the few empirical research studies that aim to explore the leverage effects on exchange rates and their volatility spillovers among seven emerging and growth-leading economies using advanced econometric methodologies.
机译：目的-这项研究的目的是研究由于不对称创新而产生的杠杆效应对汇率条件波动的影响及其在选定的新兴经济体和增长领先经济体之间的汇率溢出效应的证据。设计/方法/方法-实证分析使用符号偏差检验和非对称广义自回归条件异方差（GARCH）模型来捕获对汇率条件波动率的杠杆效应，并使用多元GARCH（MGARCH）模型来解决汇率波动性研究汇率。调查结果-该研究发现不对称创新（新闻）对汇率的条件波动具有重大影响，其中俄罗斯卢布表现出显着的杠杆效应，其次是印度卢比。汇率表现出显着的平均溢出效应，其中卢比，比索和卢布紧密相连。 Real，Rupiah和Lira具有适度的联系；人民币是样本中最小的联系汇率。该研究还发现，在2008年之后的时期，外汇中的信息被同化，溢出效应增强。实际意义-结果可能会对国际投资和资产管理产生影响。投资组合经理可以使用这项研究来优化他们的国际投资组合。中央银行等政策制定者可能会发现该研究对监控和设计外汇市场的干预策略很有用，同时关注这些汇率之间的波动性质。原创性/价值-这是为数不多的经验研究之一，旨在使用先进的计量经济学方法，探索对七个新兴经济体和增长领先经济体的汇率及其波动性溢出的杠杆效应。

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