ABSTRACT
We develop a global vector autoregressive model to study the transmission of information between currency spot markets using a classic dataset from the Reuters Dealing 2000–1 platform for the period May–August 1996. Unlike the models which are common in the literature, our model accounts for both simultaneous and dynamic interactions between exchange rates and order flows. By analysing the network topology of the system, we show that the Deutsche Mark and the Yen have historically exerted a leading influence over the European currencies and that the Yen and Sterling have acted as safe haven currencies.
JEL Classifications: C32, C51, F31, G15.
