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Realized Volatility Spillover Connectedness among the Leading European Currencies after the End of the Sovereign-Debt Crisis: A QVAR Approach

Author

Listed:
  • Michail Nerantzidis

    (Department of Accounting and Finance, University of Thessaly, Gaiopolis, 41500 Larissa, Greece)

  • Nikolaos Stoupos

    (Department of Accounting, Finance and Economics, American College of Greece (Deree), Gravias Street, 6, 15342 Athens, Greece)

  • Panayiotis Tzeremes

    (Department of Accounting and Finance, University of Thessaly, Gaiopolis, 41500 Larissa, Greece)

Abstract

This paper examines the time-varying spillover effects and connectedness between the euro and other EU and non-EU currencies after the end of the sovereign-debt crisis. We employ the Quantile Vector Autoregression connectedness approach using intraday data for seven currencies (the euro, the British pound, the Swiss franc, the Polish zloty, the Hungarian forint, the Czech koruna, and the Norwegian krone) spanning from 1 January 2016 to 30 November 2022. The results indicate that, almost in all quantiles, the currencies of Eastern European Group countries (i.e., Czech Republic, Hungary, and Poland) are net contributors of information spillovers to other currencies, while currencies of non-EU countries (Switzerland, UK, and Norway) are net takers. Further, we find that the euro is the highest transmitter of net information spillovers to all other currencies until 2021. Interestingly, after 2021, the euro changes to net information spillover taker from all other currencies; highlighting that external shocks (e.g., COVID-19, the energy crisis) have significant risk spillover effects on the European currency market. Policymakers and market participants could benefit from knowing which currency drives developments to avoid unexpected consequences.

Suggested Citation

  • Michail Nerantzidis & Nikolaos Stoupos & Panayiotis Tzeremes, 2024. "Realized Volatility Spillover Connectedness among the Leading European Currencies after the End of the Sovereign-Debt Crisis: A QVAR Approach," JRFM, MDPI, vol. 17(8), pages 1-17, August.
  • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:8:p:337-:d:1450003
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    References listed on IDEAS

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    3. Albertazzi, Ugo & Becker, Bo & Boucinha, Miguel, 2021. "Portfolio rebalancing and the transmission of large-scale asset purchase programs: Evidence from the Euro area," Journal of Financial Intermediation, Elsevier, vol. 48(C).
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    6. Kruse, Robinson, 2011. "On European monetary integration and the persistence of real effective exchange rates," Finance Research Letters, Elsevier, vol. 8(1), pages 45-50, March.
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