Research Seminar by Mr. David Gabauer, MSc
When / Where:
Wednesday, February 21st from 4:30 -5:30 pm in Room 4.07
Summary - Currency Exchange: Contagion & Volatility
The business and management department invites students and other members of the WVPU community to the next faculty presentation of our Research Seminar Series. Please join us for Mr. David Gabauer's presentation on his current doctoral research. He will speak about how his academic trajectory brought him to this field, his interest in and passion for the subject, as well as the triumphs and setbacks he has experienced so far. As with all of our faculty presentations in this series, students should leave with a better understanding of the research process - its pitfalls, challenges, and rewards. Both undergraduate and graduate students are encouraged to attend. As Mr. Gabauer's research is on a topic which everyone can relate to - money and currency exchange - it promises to be an enriching lesson for all of us!
This study examines contagion and volatility spillovers among major exchange returns over different exchange rate regimes. In particular, the currencies under investigation are the EUR (DM), GBP, CHF, JPY, AUD and CAD vis-a-vis the USD over the period of 02.01.1975 to 08.04.2016 and under five different exchange rate regimes. The results of these applications reveal the following empirical regularities: first, we identify currency contagion in the European market, as unconditional and conditional correlations between the EUR, GBP and CHF are relatively high during every exchange rate regime, whereas the nexus between the EUR and CHF is the highest among all exchange returns and across the different regimes; second, based on a portfolio diversification application, we find that long position hedging costs are expensive, as well as unconditional and conditional variances are higher in fixed compared to floating exchange rate regimes; and finally, this investigation provides suggestive evidence of a steady declining magnitude of volatility spillovers and contagion of the euro since the Lehman Brothers bankruptcy. These results remain robust to a battery of robustness checks. Finally, our analysis correctly detects more than 100 extreme economic-driven events providing additional justification of the robustness of our main results.
Please feel free to download and share the PDF flyer for this event.