IDEAS home Printed from https://ideas.repec.org/a/ime/imemes/v21y2003i2p113-131.html

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

Author

Listed:
  • Fukuhara, Masahiro

    (U Tsukuba and Barclays Global Investors)

  • Saruwatari, Yasufumi

    (Institute of Policy and Planning Sciences, U Tsukuba)

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.

Suggested Citation

  • Fukuhara, Masahiro & Saruwatari, Yasufumi, 2003. "An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(2), pages 113-131, August.
    • Handle: RePEc:ime:imemes:v:21:y:2003:i:2:p:113-131
    as

    Download full text from publisher

    File URL: http://www.imes.boj.or.jp/research/papers/english/me21-2-5.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Martin D. D. Evans, 2017. "FX Trading and Exchange Rate Dynamics," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 5, pages 189-245, World Scientific Publishing Co. Pte. Ltd..
    2. 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.
    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," HEC Research Papers Series 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: a European perspective," DULBEA Working Papers 06-07.RS, ULB -- Universite Libre de Bruxelles.
    2. 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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Flavin, Thomas J. & Panopoulou, Ekaterini & Unalmis, Deren, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Emerging Markets Review, Elsevier, vol. 9(4), pages 280-301, December.
    2. Jack Bekooij & Jon Frost & Remco van der Molen & Krzysztof Muzalewski, 2016. "Hazardous tango: Sovereign-bank interdependencies across countries and time," DNB Working Papers 541, Netherlands Central Bank, Research Department.
    3. Harald Schmidbauer & Angi Roesch & Erhan Uluceviz, 2013. "Market Connectedness: Spillovers, Information Flow, and Relative Market Entropy," Koç University-TUSIAD Economic Research Forum Working Papers 1320, Koc University-TUSIAD Economic Research Forum.
    4. Mohammad Karimi & Marcel‐Cristian Voia, 2019. "Empirics of currency crises: A duration analysis approach," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 428-449, July.
    5. Martin D. D. Evans, 2017. "FX Trading and Exchange Rate Dynamics," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 5, pages 189-245, World Scientific Publishing Co. Pte. Ltd..
    6. Martin Evans and Richard K. Lyons, 2002. "Are Different-Currency Assets Imperfect Substitutes?," Working Papers gueconwpa~02-02-12, Georgetown University, Department of Economics.
    7. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2012. "Liquidity Contagion. The Emerging Sovereign Debt Markets example," Post-Print hal-01632803, HAL.
    8. Asai, Manabu, 2009. "Bayesian analysis of stochastic volatility models with mixture-of-normal distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2579-2596.
    9. Olivier de Bandt & Sheheryar Malik, 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
    10. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018. "Measuring sovereign contagion in Europe," Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
    11. Borensztein, Eduardo & Cowan, Kevin & Valenzuela, Patricio, 2013. "Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4014-4024.
    12. repec:bgu:wpaper:0605 is not listed on IDEAS
    13. David Matesanz & Guillermo Ortega, 2014. "Network analysis of exchange data: interdependence drives crisis contagion," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 1835-1851, July.
    14. Bjonnes, Geir Hoidal & Rime, Dagfinn, 2005. "Dealer behavior and trading systems in foreign exchange markets," Journal of Financial Economics, Elsevier, vol. 75(3), pages 571-605, March.
    15. Francis E. Warnock & Veronica C. Warnock, 2005. "International Capital Flows and U.S. Interest Rates," The Institute for International Integration Studies Discussion Paper Series iiisdp103, IIIS.
    16. Andreas Chouliaras & Theoharry Grammatikos, 2017. "Extreme Returns in the European financial crisis," European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
    17. Antonio Díez de los Ríos & Alicia García Herrero, 2003. "Contagion and portfolio shift in emerging countries' sovereign bonds," Working Papers 0317, Banco de España.
    18. Martin D. D. Evans & Richard K. Lyons, 2017. "Do Currency Markets Absorb News Quickly?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 12, pages 477-505, World Scientific Publishing Co. Pte. Ltd..
    19. repec:bla:intfin:v:6:y:2003:i:2:p:157-78 is not listed on IDEAS
    20. Jing-Yi Lai, 2012. "An empirical study of the impact of skewness and kurtosis on hedging decisions," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1827-1837, December.
    21. Bodart, Vincent & Candelon, Bertrand, 2009. "Evidence of interdependence and contagion using a frequency domain framework," Emerging Markets Review, Elsevier, vol. 10(2), pages 140-150, June.
    22. Aslanidis, Nektarios & Dungey, Mardi & Savva, Christos S., 2008. "Progress Towards to Equity Market Integration in Eastern Europe," Working Papers 2072/13265, Universitat Rovira i Virgili, Department of Economics.

    More about this item

    JEL classification:

    • O19 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - International Linkages to Development; Role of International Organizations
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ime:imemes:v:21:y:2003:i:2:p:113-131. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kinken (email available below). General contact details of provider: https://edirc.repec.org/data/imegvjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.