The Role of Volatility Regimes on Volatility Transmission Patterns

Barley is one of the main crops after wheat and rice. The importance of this product increases because it is an essential input in the livestock and poultry industries. The prices of input, which used in the livestock and poultry industries, faced fluctuations in recent years. Thus, in this study, the price fluctuation of barley in the Iran Mercantile Exchange, Iran domestic free market and World Market compared by applying the GARCH model. This model applied to monthly prices of barley from March 2009 to February 2017. Also, the volatility and shock transmission of barley price between these three markets analyzed by the BEKK model. The results showed that the price fluctuations of the domestic market are more than the global market. In addition, the shocks and volatilities of the world and Iran free market transmitted to the Iran Mercantile Exchange. Thus, the use of new financial instruments in the domestic free market is necessary.

Download Full-text

Regime specific spillover across cryptocurrencies and the role of COVID-19

Financial Innovation ◽

10.1186/s40854-020-00210-4 ◽

2021 ◽

Vol 7 (1) ◽

Author(s):

Syed Jawad Hussain Shahzad ◽

Elie Bouri ◽

Sang Hoon Kang ◽

Tareq Saeed

Keyword(s):

Network Analysis ◽

Regime Switching ◽

Exogenous Variables ◽

Vector Autoregressive ◽

Daily Return ◽

High Volatility ◽

Pricing Factors ◽

Volatility Regimes ◽

Do So

AbstractThe aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous variables (VARX) model to a daily dataset from 25-July-2016 to 1-April-2020. The results indicate various patterns of spillover in high and low volatility regimes, especially during the COVID-19 outbreak. The total spillover index varies with time and abruptly intensifies following the outbreak of COVID-19, especially in the high volatility regime. Notably, the network analysis reveals further evidence of much higher spillovers in the high volatility regime during the COVID-19 outbreak, which is consistent with the notion of contagion during stress periods.

Download Full-text

Is Foreign Exchange Intervention a Panacea in Diversified Circumstances? The Perspectives of Asymmetric Effects

Sustainability ◽

10.3390/su12072913 ◽

2020 ◽

Vol 12 (7) ◽

pp. 2913

Author(s):

Wenbo Wang ◽

Dieu Thanh Le ◽

Hail Park

Keyword(s):

Economic Development ◽

Impulse Response ◽

Foreign Exchange ◽

Impulse Response Functions ◽

Response Functions ◽

Foreign Exchange Intervention ◽

Asymmetric Effects ◽

Growing Body ◽

Volatility Regimes

Owing to the country’s heavy reliance on exports, the role of foreign exchange intervention in South Korea’s economic development is self-evident. The effectiveness of the intervention is what we are concerned with in this paper. Recently, a growing body of literature has engaged in exploring the asymmetric effects of foreign exchange intervention both theoretically and empirically. Against this background, we employ a threshold vector autoregression (TVAR) model in parallel with its generalized impulse response functions (GIRFs) to show that there are asymmetric effects of the Bank of Korea (BOK)-led interventions regardless of the volatility regimes.

Download Full-text