Liquidity spillover in foreign exchange markets

研究成果: 雜誌貢獻期刊論文同行評審

摘要

We use an index of spillover based on the generalized variance decomposition developed by Diebold and Yilmaz (2009, 2012) to measure the spillover in liquidity in currency markets between 2008 and 2015. The results show that the liquidity spillovers across nine major foreign exchange markets increase with global risk and funding constraint. We also find a substantial difference in the propagation pattern of liquidity between the funding currencies and investment currencies markets.

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文章編號102105
期刊Finance Research Letters
44
DOIs
出版狀態已出版 - 1月 2022

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