Data for: Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets

In this paper, we investigate the “static and dynamic” return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005–2016. Focusing on the spillover index methodology, the generalised VAR framework is employed. Our findings indicate no evidence of bi-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers from developed to developing countries are highlighted. Furthermore, our findings document significant bi-directional volatility spillovers within the European region (Eu-rozone and non-Eurozone currencies) with the British pound sterling (GBP) and the Euro (EUR) as the most significant transmitters of volatility. The findings reiterate the prominence of volatility spillovers to financial regulators.

本研究探讨在发达与发展中国家之间，“静态与动态”回报及波动溢出效应的传导机制。以美元为计价基准，对2005至2016年间的二十三种全球货币进行研究。聚焦于溢出指数方法，采用广义向量自回归（VAR）框架。研究发现，在发达与发展中国家之间不存在双向的回报及波动溢出效应的证据。然而，从发达国家向发展中国家单向的波动溢出效应得到凸显。此外，研究还记录了在欧洲区域（欧元区与非欧元区货币）内显著的双向波动溢出效应，其中英镑（GBP）和欧元（EUR）是波动传递最为显著的媒介。研究结论重申了波动溢出效应对金融监管者的显著影响。