The impact of Euro through time: exchange rate dynamics under different regimes

Nikos Antonakakis, Ioannis Chatziantoniou, David Gabauer

    Research output: Contribution to journalArticlepeer-review

    20 Downloads (Pure)


    In this study, we examine the role of the Euro in currency co-movements and contagion considering the USD exchange rates of six major currencies (i.e., EUR(DM), JPY, GBP, CHF, AUD, as well as, CAD). We identify five distinct intervals, each one corresponding to a different exchange rate regime or reflecting diverse economic developments. First, we model conditional volatility by introducing a novel DCC-GARCH-Copula model (based on GARCH selection criteria). Then, we investigate conditional volatility connectedness employing a Bayesian TVP-(Pseudo)FAVAR model. This approach effectively refines existing measures of dynamic connectedness. Findings suggest strong co-movements that differ across regimes. In addition, the EUR becomes weaker following both the collapse of Lehman Brothers and the decision for the first Economic Adjustment Program for Greece. Following the announcement of the result of the EU referendum the GBP eventually receives influence from the EUR. Results remain robust to a series of tests.
    Original languageEnglish
    Pages (from-to)1375-1408
    Number of pages34
    JournalInternational Journal of Finance and Economics
    Issue number1
    Early online date1 Aug 2020
    Publication statusPublished - 1 Jan 2021


    • DCC-GARCH-Copula
    • TVP-(Pseudo)FAVAR
    • exchange rates
    • connectedness


    Dive into the research topics of 'The impact of Euro through time: exchange rate dynamics under different regimes'. Together they form a unique fingerprint.

    Cite this