  We show how bad and good volatility propagate through forex markets, i.e., we
provide evidence for asymmetric volatility connectedness on forex markets.
Using high-frequency, intra-day data of the most actively traded currencies
over 2007 - 2015 we document the dominating asymmetries in spillovers that are
due to bad rather than good volatility. We also show that negative spillovers
are chiefly tied to the dragging sovereign debt crisis in Europe while positive
spillovers are correlated with the subprime crisis, different monetary policies
among key world central banks, and developments on commodities markets. It
seems that a combination of monetary and real-economy events is behind the net
positive asymmetries in volatility spillovers, while fiscal factors are linked
with net negative spillovers.
