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

  • Fukuhara, Masahiro

    (U Tsukuba and Barclays Global Investors)

  • Saruwatari, Yasufumi

    (Institute of Policy and Planning Sciences, U Tsukuba)

Registered author(s):

    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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    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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    1. Martin Evans, 2000. "FX trading and Exchange Rate Dynamics," Working Papers gueconwpa~00-00-04, Georgetown University, Department of Economics.
    2. 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.
    3. 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.
    4. POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Les Cahiers de Recherche 719, HEC Paris.
    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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