Table 3.
Exchange rate return spillover with higher order VAR
This table reports the spillover results for the VAR model containing four exchange rate returns, namely Canadian dollar (RET_CAD), EURO (RET_EURO), the Great British Pound (RET_GBP), and Japanese Yen (RET_JPY). The dynamic estimates are obtained using: a VAR lag of 8, a rolling window of 200 hours (approximately 12 days), and a forecast horizon, h, 10 hours. TO represents for the contribution to others; FROM represents contribution from others and OWN represents contributions from own shocks; NET represents the difference between gross return shocks transmitted to and gross return shocks received from all other markets. Finally, the TSI indicates the total spillover index. The results are provided for three sample periods: the full-sample (7/01/2019, 2:00am to 9/04/2020, 5:00pm) in Panel A, pre-COVID-19 sample (7/01/2019, 2:00am to 12/31/2019, 5:00pm) in Panel B, and the COVID-19 sample (1/01/2020, 1:00 am to 9/04/2020, 5:00pm) in Panel C.
| RET_CAD | RET_EURO | RET_GBP | RET_JPY | FROM | |
|---|---|---|---|---|---|
| Panel A: Full Sample (VAR order 8 lags, h=10, 200 rolling window) | |||||
| RET_CAD | 66.030 | 14.441 | 13.192 | 6.337 | 33.970 |
| RET_EURO | 12.547 | 58.769 | 18.964 | 9.720 | 41.231 |
| RET_GBP | 11.836 | 19.672 | 61.207 | 7.285 | 38.793 |
| RET_JPY | 7.114 | 12.280 | 8.206 | 72.400 | 27.600 |
| Contribution TO others | 31.498 | 46.393 | 40.362 | 23.341 | 141.594 |
| Contribution including own | 97.528 | 105.162 | 101.570 | 95.741 | TCI |
| Net spillovers | -2.472 | 5.162 | 1.570 | -4.259 | 35.399 |
| Panel B: Pre-COVID-19 (VAR order 8 lags, h=10, 200 rolling window) | |||||
| RET_CAD | 74.706 | 11.041 | 8.342 | 5.911 | 25.294 |
| RET_EURO | 9.827 | 64.027 | 16.657 | 9.490 | 35.973 |
| RET_GBP | 7.315 | 17.313 | 68.781 | 6.592 | 31.219 |
| RET_JPY | 6.379 | 11.434 | 5.914 | 76.273 | 23.727 |
| Contribution TO others | 23.520 | 39.787 | 30.912 | 21.993 | 116.213 |
| Contribution including own | 98.226 | 103.814 | 99.694 | 98.266 | TCI |
| Net spillovers | -1.774 | 3.814 | -0.306 | -1.734 | 29.053 |
| Panel C: COVID-19 (VAR order 8 lags, h=10, 200 rolling window) | |||||
| RET_CAD | 59.418 | 16.848 | 16.950 | 6.784 | 40.582 |
| RET_EURO | 14.519 | 54.833 | 20.745 | 9.903 | 45.167 |
| RET_GBP | 15.375 | 21.345 | 55.235 | 8.045 | 44.765 |
| RET_JPY | 7.752 | 12.816 | 10.127 | 69.304 | 30.696 |
| Contribution TO others | 37.645 | 51.010 | 47.823 | 24.732 | 161.209 |
| Contribution including own | 97.063 | 105.843 | 103.058 | 94.036 | TCI |
| Net spillovers | -2.937 | 5.843 | 3.058 | -5.964 | 40.302 |