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dc.contributor.authorBenSaïda, Ahmed
dc.date.accessioned2025-01-29T11:26:01Z
dc.date.available2025-01-29T11:26:01Z
dc.date.issued2025-01
dc.identifier.doi10.1002/ijfe.3117en_US
dc.identifier.urihttp://hdl.handle.net/20.500.14131/1985
dc.description.abstractThe study of financial shock propagation across markets has motivated numerous researchers to investigate the mechanisms of return and volatility spillovers in order to prevent harmful shock transmission. This article studies the contemporaneous spillovers by employing a structural vector autoregressive (SVAR) model with Markov switching covariance matrix to solve the identification problem. The proposed method offers a smooth convergence that handles several drawbacks of existing procedures. Moreover, this article develops a new framework to analyze the contemporaneous asymmetric volatility spillovers, which adds a great deal of knowledge by separating the effects of good news and bad news on shock transmissions. Application on major exchange rate returns and volatilities shows that the contemporaneous effects have different intensities for all pairwise currencies. Furthermore, the asymmetric analysis reveals that good (bad) volatility has a contemporaneous positive effect on good (bad) volatility, while the risk due to good (bad) news negatively affects the risk due to an opposite shock.en_US
dc.language.isoenen_US
dc.publisherWileyen_US
dc.subjectExchange marketsen_US
dc.subjectContemporaneous spilloversen_US
dc.subjectAsymmetric risken_US
dc.subjectShock transmissionen_US
dc.subjectSVARen_US
dc.titleContemporaneous spillovers across foreign exchange marketsen_US
dc.source.journalInternational Journal of Finance & Economicsen_US
dc.contributor.researcherNo Collaborationen_US
dc.contributor.labNAen_US
dc.subject.KSAEconomies of the Futureen_US
dc.contributor.ugstudent0en_US
dc.contributor.alumnae0en_US
dc.source.indexScopusen_US
dc.source.indexWoSen_US
dc.source.indexABSen_US
dc.source.indexABDCen_US
dc.contributor.departmentFinanceen_US
dc.contributor.pgstudent0en_US
dc.contributor.firstauthorBenSaïda, Ahmed
dc.IR.KSAMTHen_US
dc.SDGs.KSASDG 8en_US
dc.IAW.KSANAen_US
dc.research.classifTheoreticalen_US
dc.journal.quartileQ1en_US


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