IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-981-19-3296-0_4.html
   My bibliography  Save this book chapter

Exchange Market Volatility Spillover in Time of Crisis: Evidence from a Smooth Transition Regression Application

In: Crises and Uncertainty in the Economy

Author

Listed:
  • Hassen RAÏS

    (Associate Professor of Finance, ESSCA School of Management)

Abstract

This article analyses the relationship between financial markets and the exchange rate volatility. These spillovers are likely to be exacerbated during crisis periods with different effects geography and economy. The possibility of nonlinearities is introduced by running smooth transition regressions over a sample of 15 countries during the period from January 2005 to December 2018. The results confirm that exchange rate volatility does increase more than proportionally with the global financial stress, for emerging countries than developing ones. The regional contagion effects spread from one currency to other currencies in the neighboring area.

Suggested Citation

  • Hassen RAÏS, 2022. "Exchange Market Volatility Spillover in Time of Crisis: Evidence from a Smooth Transition Regression Application," Springer Books, in: Hachmi BEN AMEUR & Zied FTITI & Wael LOUHICHI & Jean-Luc PRIGENT (ed.), Crises and Uncertainty in the Economy, chapter 0, pages 71-80, Springer.
    • Handle: RePEc:spr:sprchp:978-981-19-3296-0_4
    DOI: 10.1007/978-981-19-3296-0_4
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-981-19-3296-0_4. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.