Volatility spillovers and dynamic correlations among foreign exchange rates and bond markets of emerging economies

Resul Aydemir; Bulent Guloglu; Ercan Saridogan

doi:10.2298/PAN171017020A

Volatility spillovers and dynamic correlations among foreign exchange rates and bond markets of emerging economies

Resul Aydemir^*, Bulent Guloglu, Ercan Saridogan

^*Bu çalışma için yazışmadan sorumlu yazar

Ekonomi Bölümü

Istanbul University

Araştırma sonucu: ???type-name??? › Makale › bilirkişi

3 Atıf (Scopus)

Özet

Summary: In this paper, we first examine how important historical shocks during and after the 2007-2008 global financial crisis affect the size and the persistence of volatilities among exchange rates and the ten-year bond rates of the Fragile Five countries (i.e., Brazil, India, Indonesia, South Africa and Turkey). We then investigate separately the dynamic interactions between exchange rates and the ten-year bond rates of the Fragile Five. We utilize a multivariate GARCH model (FIAPARCH-DCC model) and volatility impulse response functions to achieve these objectives. The results suggest that shocks’ positive impacts on expected conditional variances of the variables are largely market-specific and different. Shocks have a more significant impact on bond markets than on foreign exchange markets. We also find that the dynamic conditional correlation series of bonds exhibit much lower correlations than those associated with exchange rate returns.

Orijinal dil	İngilizce
Sayfa (başlangıç-bitiş)	99-127
Sayfa sayısı	29
Dergi	Panoeconomicus
Hacim	68
Basın numarası	1
DOI'lar	https://doi.org/10.2298/PAN171017020A
Yayın durumu	Yayınlandı - 2021

Bibliyografik not

Publisher Copyright:
© 2021, Savez Ekonomista Vojvodine. All rights reserved.

Finansman

Acknowledgement: Preliminary empirical results were presented at conferences including ASSA Meetings (MEEA) in Boston (January 2015), World Finance Conference in Buenos Aires (July 2015), 4th Economics and Finance Con-ference in London (August 2015). We benefited from comments and suggestions from Shawkat Ham-moudeh, Mehmet Balcilar and other participants of these conferences. We thank them all. We also thank the editor of the journal and two anonymous referees for valuable suggestions. This work was supported by the Scientific and Technological Research Council of Turkey (TUBITAK) (Grant No: 114K519).

Finansörler	Finansör numarası
TUBITAK	114K519
Türkiye Bilimsel ve Teknolojik Araştirma Kurumu

BM SKH

Bu sonuç, aşağıdaki Sürdürülebilir Kalkınma Hedefine/Hedeflerine katkıda bulunur

Belgeye Erişim

10.2298/PAN171017020A

Diğer Dosyalar ve Linkler

Link to publication in Scopus

Alıntı Yap

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abstract = "Summary: In this paper, we first examine how important historical shocks during and after the 2007-2008 global financial crisis affect the size and the persistence of volatilities among exchange rates and the ten-year bond rates of the Fragile Five countries (i.e., Brazil, India, Indonesia, South Africa and Turkey). We then investigate separately the dynamic interactions between exchange rates and the ten-year bond rates of the Fragile Five. We utilize a multivariate GARCH model (FIAPARCH-DCC model) and volatility impulse response functions to achieve these objectives. The results suggest that shocks{\textquoteright} positive impacts on expected conditional variances of the variables are largely market-specific and different. Shocks have a more significant impact on bond markets than on foreign exchange markets. We also find that the dynamic conditional correlation series of bonds exhibit much lower correlations than those associated with exchange rate returns.",

keywords = "Dynamic corre-lations, Emerging markets, Exchange rates, Interest rates, Volatility spillovers",

author = "Resul Aydemir and Bulent Guloglu and Ercan Saridogan",

year = "2021",

doi = "10.2298/PAN171017020A",

language = "English",

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journal = "Panoeconomicus",

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TY - JOUR

T1 - Volatility spillovers and dynamic correlations among foreign exchange rates and bond markets of emerging economies

AU - Aydemir, Resul

AU - Guloglu, Bulent

AU - Saridogan, Ercan

PY - 2021

Y1 - 2021

N2 - Summary: In this paper, we first examine how important historical shocks during and after the 2007-2008 global financial crisis affect the size and the persistence of volatilities among exchange rates and the ten-year bond rates of the Fragile Five countries (i.e., Brazil, India, Indonesia, South Africa and Turkey). We then investigate separately the dynamic interactions between exchange rates and the ten-year bond rates of the Fragile Five. We utilize a multivariate GARCH model (FIAPARCH-DCC model) and volatility impulse response functions to achieve these objectives. The results suggest that shocks’ positive impacts on expected conditional variances of the variables are largely market-specific and different. Shocks have a more significant impact on bond markets than on foreign exchange markets. We also find that the dynamic conditional correlation series of bonds exhibit much lower correlations than those associated with exchange rate returns.

AB - Summary: In this paper, we first examine how important historical shocks during and after the 2007-2008 global financial crisis affect the size and the persistence of volatilities among exchange rates and the ten-year bond rates of the Fragile Five countries (i.e., Brazil, India, Indonesia, South Africa and Turkey). We then investigate separately the dynamic interactions between exchange rates and the ten-year bond rates of the Fragile Five. We utilize a multivariate GARCH model (FIAPARCH-DCC model) and volatility impulse response functions to achieve these objectives. The results suggest that shocks’ positive impacts on expected conditional variances of the variables are largely market-specific and different. Shocks have a more significant impact on bond markets than on foreign exchange markets. We also find that the dynamic conditional correlation series of bonds exhibit much lower correlations than those associated with exchange rate returns.

KW - Dynamic corre-lations

KW - Emerging markets

KW - Exchange rates

KW - Interest rates

KW - Volatility spillovers

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U2 - 10.2298/PAN171017020A

DO - 10.2298/PAN171017020A

M3 - Article

AN - SCOPUS:85103016178

SN - 1452-595X

VL - 68

SP - 99

EP - 127

JO - Panoeconomicus

JF - Panoeconomicus

IS - 1

ER -

Volatility spillovers and dynamic correlations among foreign exchange rates and bond markets of emerging economies

Özet

Bibliyografik not

Finansman

BM SKH

Belgeye Erişim

Diğer Dosyalar ve Linkler

Parmak izi

Alıntı Yap