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TVP-VAR Frequency Connectedness Between the Foreign Exchange Rates of Non-Euro Area Member Countries

Author

Listed:
  • Akbulut Nesrin

    (1 Alanya Alaaddin Keykubat University, Turkey Department of Economics)

  • Ari Yakup

    (2 Alanya Alaaddin Keykubat University, Turkey Department of Economics)

Abstract

The main purpose of monetary integration between EU countries is to eliminate excessive fluctuations in exchange rates. High volatility in exchange rates can cause various negative economic and financial effects, especially during periods of economic shocks. In addition, estimating the volatility between currencies and their interactions is of great importance for effective portfolio management.

Suggested Citation

  • Akbulut Nesrin & Ari Yakup, 2023. "TVP-VAR Frequency Connectedness Between the Foreign Exchange Rates of Non-Euro Area Member Countries," Folia Oeconomica Stetinensia, Sciendo, vol. 23(2), pages 1-23, December.
    • Handle: RePEc:vrs:foeste:v:23:y:2023:i:2:p:1-23:n:20
    DOI: 10.2478/foli-2023-0016
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Garman-Klass-Yang-Zhang; FOREX markets; Non-Euro Area; Pairwise Connectedness Index; TVP-VAR Frequency Connectedness; Volatility transmission;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G00 - Financial Economics - - General - - - General

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