An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory
AbstractThe objective of this paper is to analyze short-term contagion effects in emerging currency markets. The originality of our paper lies in our survey used to present the microstructure of emerging currency markets and our empirical approach to contagion analysis through an estimation of tail dependence between pair currencies employing multivariate extreme value theory for the verification of results of our survey.
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Bibliographic InfoArticle provided by Institute for Monetary and Economic Studies, Bank of Japan in its journal Monetary and Economic Studies.
Volume (Year): 21 (2003)
Issue (Month): 2 (August)
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Find related papers by JEL classification:
- O19 - Economic Development, Technological Change, and Growth - - Economic Development - - - International Linkages to Development; Role of International Organizations
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001.
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Les Cahiers de Recherche
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"FX Trading and Exchange Rate Dynamics,"
NBER Working Papers
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- Toshiaki Watana, 2000. "Excess kurtosis of conditional distribution for daily stock returns: the case of Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 7(6), pages 353-355.
- Wang, Kai-Li & Fawson, Christopher B. & Barrett, Christopher B. & McDonald, James B., 1998.
"A Flexible Parametric Garch Model With An Application To Exchange Rates,"
Economics Research Institute, ERI Study Papers
28355, Utah State University, Economics Department.
- Kai-Li Wang & Christopher Fawson & Christopher B. Barrett & James B. McDonald, 2001. "A flexible parametric GARCH model with an application to exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 521-536.
- Roberto Rigobon, 2002.
"Contagion: How to Measure It?,"
in: Preventing Currency Crises in Emerging Markets, pages 269-334
National Bureau of Economic Research, Inc.
- Carroll Howard GRIFFIN, 2010. "The Role Of Latin American Banks In The Region’s Currency Crises," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 5, pages 55-71, June.
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