Abstract
Based on an improved TENET approach, this paper analyses the tail risk of 32 major global currencies and measures the tail risk spillover among these currencies using daily data. We find that (i) The tail risk of USD, EUR, GBP and JPY is relatively high, while CNY shows low risk with a continuous upward trend; (ii) The total tail risk connectedness of currencies declines over time, but spikes during significant events in recent years; (iii) The tail risk spillover of currencies from developed economies is higher than developing economies. Moreover, European and North American currencies primarily exhibit tail risk spillover, while Asian and African (South African) currencies mainly absorb risk from other regions.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
