caa a22 4500 605534489 CHVBK 20210128100843.0 cr unu---uuuuu 210128e20151101xx s 000 0 eng 10.1007/s10663-014-9277-8 doi (NATIONALLICENCE)springer-10.1007/s10663-014-9277-8 The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets [Elektronische Daten] [Costas Karfakis, Theodore Panagiotidis] This study examines first the effects of financial market turmoil in the fall of 2008 on the conditional correlations between three exchange rate returns (USD/EUR, JPY/USD, USD/GBP), and then the effects of quantitative easing programs and Greek debt crisis on the entire distribution of estimated correlations. The dynamic correlations have sharply increased during the period that followed the collapse of Lehman Brothers, indicating a financial contagion across currency markets. The quantitative easing programs of the Federal Reserve and the Bank of England have affected the conditional correlations between the currency pairs. Finally, the Greek debt crisis has emerged as the most significant covariate of the quantile regressions. Springer Science+Business Media New York, 2014 Currency markets nationallicence Quantitative easing nationallicence GARCH nationallicence Dynamic conditional correlation nationallicence Quantile regression nationallicence Karfakis Costas Department of Economics, University of Macedonia, Thessaloniki, Greece aut Panagiotidis Theodore Department of Economics, University of Macedonia, Thessaloniki, Greece aut Empirica Springer US; http://www.springer-ny.com 42/4(2015-11-01), 795-811 0340-8744 42:4<795 2015 42 10663 https://doi.org/10.1007/s10663-014-9277-8 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10663-014-9277-8 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Karfakis Costas Department of Economics, University of Macedonia, Thessaloniki, Greece aut NATIONALLICENCE 700 1- Panagiotidis Theodore Department of Economics, University of Macedonia, Thessaloniki, Greece aut NATIONALLICENCE 773 0- Empirica Springer US; http://www.springer-ny.com 42/4(2015-11-01), 795-811 0340-8744 42:4<795 2015 42 10663