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Volatility Spillovers between the Black Market and Official Market for Foreign Currency in Greece

Kanas, Angelos, Kouretas, Georgios P. (2001) Volatility Spillovers between the Black Market and Official Market for Foreign Currency in Greece. Journal of Financial Research, 24 (3). pp. 443-461. (doi:10.1111/j.1475-6803.2001.tb00779.x) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:41152)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
https://doi.org/10.1111/j.1475-6803.2001.tb00779.x

Abstract

The issue of volatility spillovers between the black and official exchange markets for U. S. dollars in Greece for 1975-89 is examined. A vector error correction-bivariate EGARCH model is developed and estimated to capture potential asymmetric effects of innovations and volatility. During the period under investigation, reciprocal spillovers are found between the black and official exchange markets for dollars. Furthermore, spillovers are asymmetric in that bad news in one market has a greater effect on the volatility of the other market than good news. Additionally, the size of spillover effects is greater from the official market to the black market. Finally, the removal of the foreign exchange controls in January 1986 made the volatility of the official exchange rate higher and changed the nature of volatility spillovers between the two markets.

Item Type: Article
DOI/Identification number: 10.1111/j.1475-6803.2001.tb00779.x
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 14:16 UTC
Last Modified: 09 Mar 2023 11:33 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41152 (The current URI for this page, for reference purposes)

University of Kent Author Information

Kanas, Angelos.

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