Speaker: Duc Khuong Nguyen
Affiliation: IPAG Business School
This seminar will feature Dr Duc Khuong Nguyen of IPAG Business School. His research first uses the conditional Granger causality to measure lead-lag network connectedness among the most globally traded currencies. From this, it then investigates the informational content of system-wide dynamic connectedness and examines the relationship between node connectedness and exchange rate variations.
The panel regression results reveal that node connectedness has significant effects on mean return, standard deviation, and Value at Risk after controlling for certain fundamental and market behavior variables. More importantly, an increase in a currency’s lead-lag connectedness predicts greater variations in its values vis-`a-vis the USD the following year. The research also finds evidence that the node with higher centrality before the global financial crisis faced more extreme depreciation than in the crisis period.
At the broader level, the dynamic system-wide lead-lag connectedness is seen to spike during high-risk episodes, become more stable in a lower-risk environment, and co-integrate with VIX, Vstoxx, and rolling TED spread. It could also capture major systemic events like Lehman Brothers’ collapse, the get-through of European Stability Mechanism in September 2012 as well as Brexit.
About the Speaker
Dr Duc Khuong Nguyen holds an MSc and PhD in finance from the University of Grenoble Alpes (France), and obtained his Habilitation for Supervising Doctoral Research in management sciences in 2009. In 2013, he joined IPAG Business School as Professor of Finance and Deputy Director for Research. Previously, he served as Professor of Finance and Head of the Department of Finance and Information Systems at ISC Paris Business School. His principal research areas include emerging markets finance, energy finance, volatility modeling, and risk management in international capital markets. His most recent articles are published in journals such as the Journal of Banking and Finance, Journal of Economic Dynamics and Control, Journal of Empirical Finance, Journal of Forecasting, Journal of Macroeconomics, Macroeconomic Dynamics, Review of International Economics, and World Economy. He is Subject Editor at Emerging Markets Review, Journal of International Financial Markets, Institutions and Money.
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