Christopher J. Neely

big data and econometrics seminar

Christopher J. Neely

Federal Reserve Bank of St. Louis
The role of jumps in volatility spillovers in foreign exchange markets: Meteor shower and heat waves revisited
Co-écrit avec
Jérôme Lahaye, Christopher J. Neely
Lieu

IBD Amphi

Îlot Bernard du Bois - Amphithéâtre

AMU - AMSE
5-9 boulevard Maurice Bourdet
13001 Marseille

Date(s)
Mardi 27 juin 2017| 14:00
Contact(s)

Sébastien Laurent : sebastien.laurent[at]univ-amu.fr

Résumé

This paper extends the previous literature on geographic (heat waves) and intertemporal (meteor showers) foreign exchange volatility transmission to characterize the role of jumps and cross-rate propagation. We employ heterogeneous autoregressive (HAR) models to capture the quasi-long-memory properties of volatility and the Shapley-Owen R2 measure to quantify the contributions of components. We conclude that meteor showers are more influential than heat waves, that jumps play a modest but significant role in volatility transmission and that significant, bidirectional cross-rate volatility transmission exists. Finally, we illustrate what types of news weaken or strengthen heat wave and meteor shower effects with sensitivity analysis.

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