Asymmetric volatility connectedness on the forex market

•The forex market exhibits asymmetric volatility connectedness.•We use high-frequency data of the most actively traded currencies over 2007–2015.•We document that the negative spillovers dominate positive spillovers.•Positive spillovers are correlated with the subprime crisis.•Negative spillovers are chiefly tied to the dragging sovereign debt crisis in Europe.