Jump Connectedness in the European Foreign Exchange Market

We assess the jump connectedness (spillover) among five Group-of-Ten European currencies, namely the Swiss Franc, the Euro, the British pound, the Norwegian Krone, and the Swedish Krone. Our analysis covers a period starting from January 1999 to January 2018. Overall, we find evidence of jump connectedness in the Group-of-Ten European currencies, in which the Euro is the largest net transmitter and the British pound is the largest receiver of jump connectedness. Jump connectedness between the Euro and the Swiss Franc is the strongest followed by the Euro-Norwegian Krone and the Swiss Franc-Swedish Krone pair. Total jump connectedness among the five Group-of-Ten European currencies is time-varying and sensitive to the extreme events such as the Eurozone Debt Crisis. However, the good news is that their jump connectedness is in a downward trend, declining about a half of its peak observed in early 2007.