TVP-VAR Frequency Connectedness Between the Foreign Exchange Rates of Non-Euro Area Member Countries

Abstract

The main purpose of monetary integration between EU countries is to eliminate excessive fluctuations in exchange rates. High volatility in exchange rates can cause various negative economic and financial effects, especially during periods of economic shocks. In addition, estimating the volatility between currencies and their interactions is of great importance for effective portfolio management.

Keywords

• garman-klass-yang-zhang
• forex markets
• non-euro area
• pairwise connectedness index
• tvp-var frequency connectedness
• volatility transmission
• c11
• c22
• e30
• f31
• g00