Quantifying Informational Linkages in a Global Model of Currency Spot Markets

Yongcheol Shin; Matthew Greenwood-Nimmo; Viet Nguyen

Quantifying Informational Linkages in a Global Model of Currency Spot Markets

Yongcheol Shin, Matthew Greenwood-Nimmo, Viet Nguyen

Economics

Research output: Chapter in Book/Report/Conference proceeding › Chapter (peer-reviewed) › peer-review

Abstract

We develop a global vector autoregressive model to study the transmission of information between currency spot markets. Our model accounts for both simultaneous and dynamic interactions between exchange rates and order flows using historical data from the Reuters Dealing 2000-1 platform for the period May--August 1996. By analysing the network topography of the system, we find that currency markets are intricately linked and that the Deutsche Mark and the Yen exert a leading influence over the European currencies. Furthermore, using a novel technique we find that the Yen and Sterling act as safe haven currencies.

Original language	English
Title of host publication	Advances in Applied Financial Econometrics
Publisher	Routledge
Publication status	Accepted/In press - 2018

Keywords

Exchange Rates, Order Flows, Global VAR, Connectedness and Spillovers, Safe Haven Currency.

Cite this

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title = "Quantifying Informational Linkages in a Global Model of Currency Spot Markets",

abstract = "We develop a global vector autoregressive model to study the transmission of information between currency spot markets. Our model accounts for both simultaneous and dynamic interactions between exchange rates and order flows using historical data from the Reuters Dealing 2000-1 platform for the period May--August 1996. By analysing the network topography of the system, we find that currency markets are intricately linked and that the Deutsche Mark and the Yen exert a leading influence over the European currencies. Furthermore, using a novel technique we find that the Yen and Sterling act as safe haven currencies. ",

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AU - Nguyen, Viet

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N2 - We develop a global vector autoregressive model to study the transmission of information between currency spot markets. Our model accounts for both simultaneous and dynamic interactions between exchange rates and order flows using historical data from the Reuters Dealing 2000-1 platform for the period May--August 1996. By analysing the network topography of the system, we find that currency markets are intricately linked and that the Deutsche Mark and the Yen exert a leading influence over the European currencies. Furthermore, using a novel technique we find that the Yen and Sterling act as safe haven currencies.

AB - We develop a global vector autoregressive model to study the transmission of information between currency spot markets. Our model accounts for both simultaneous and dynamic interactions between exchange rates and order flows using historical data from the Reuters Dealing 2000-1 platform for the period May--August 1996. By analysing the network topography of the system, we find that currency markets are intricately linked and that the Deutsche Mark and the Yen exert a leading influence over the European currencies. Furthermore, using a novel technique we find that the Yen and Sterling act as safe haven currencies.

KW - Exchange Rates, Order Flows, Global VAR, Connectedness and Spillovers, Safe Haven Currency.

M3 - Chapter (peer-reviewed)

BT - Advances in Applied Financial Econometrics

PB - Routledge

ER -