Research Information System
BULLETIN OF ECONOMIC RESEARCH, vol.71, no.4, pp.585-598, 2019 (SSCI)
In this study, we analyse systemic risk contagion between a set of most actively traded currencies (EURO, JPY, GBP, AUD, CAD and CHF) by application of VAR based frequency connectedness proposed by Barunik and Krehlik. By using this novel approach, we gauge foreign exchange (FX) market connectedness in 200-day frequency band using spectral representation of variance decompositions of VAR and identify directional spillovers between the most actively traded foreign exchange rates. Dynamics of the overall spillover index reveals that the index capture well-known financial stress incidents properly. Finally, network topology of directional spillovers between currency pairs is provided for visulalization interconnectedness between them.