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An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory

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Author Info

  • Fukuhara, Masahiro

    (U Tsukuba and Barclays Global Investors)

  • Saruwatari, Yasufumi

    (Institute of Policy and Planning Sciences, U Tsukuba)

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    Abstract

    The 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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    File URL: http://www.imes.boj.or.jp/research/papers/english/me21-2-5.pdf
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    Bibliographic Info

    Article 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)
    Pages: 113-131

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    Handle: RePEc:ime:imemes:v:21:y:2003:i:2:p:113-131

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    References

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    1. Martin D. D. Evans, 2002. "FX Trading and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 57(6), pages 2405-2447, December.
    2. Roberto Rigobon, 2002. "Contagion: How to Measure It?," NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 269-334 National Bureau of Economic Research, Inc.
    3. Poon, Ser-Huang & Rockinger, Michael & Tawn, Jonathan, 2001. "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers 2762, C.E.P.R. Discussion Papers.
    4. 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.
    5. 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.
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    Cited by:
    1. 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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