This study investigates the dynamic linkages between foreign exchange and general financial markets using asymmetric time-varying copula models for the developed markets of G7 countries. We also examine the extreme spillover effects from foreign exchange markets to general financial markets by the copula-based CoVaR approach. The copula estimations reveal asymmetric tail dependence and a positive (negative) dependence between currency and stock markets in Canada (Japan and the United States); a positive (negative) dependence between currency and bond markets in Japan (Canada and the United States). Furthermore, this study observes both the downside and upside spillovers in most of the G7 countries; the evidence of downside spillover is more prevalent than the upside spillover, especially for the stock market. The results indicate that these spillovers are generally asymmetric, namely, the downside spillovers are significantly greater than the upside spillovers. These findings are relevant for international investors and policy makers.

本研究使用G7国家发达市场的不对称时变copula模型研究外汇与一般金融市场之间的动态联系。我们还通过基于copula的CoVaR方法研究了从外汇市场到一般金融市场的极端溢出效应。copula估计揭示了加拿大（日本和美国）的货币和股票市场之间不对称的尾部依赖性和正（负）依赖性；日本（加拿大和美国）的货币和债券市场之间存在积极（消极）依赖。此外，这项研究还观察到了大多数七国集团国家的下行和上行溢出效应。下行溢出的证据比上行溢出更为普遍，尤其是对于股票市场而言。结果表明，这些溢出通常是不对称的，即，下行溢出明显大于上行溢出。这些发现与国际投资者和政策制定者有关。