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Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data

We formally test that a process containing Brownian motion and jumps characterises the high frequency observations for eight Asian currencies against the US dollar. By harnessing the changes in behaviour of the data during periods of stress we develop a new indicator to detect stress dates in currency markets. We find that the global share of currency trade for each currency relates to the frequency of stress days detected. We align the stress dates to economic and political conditions using central bank and IMF reports on developments in currency markets.

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File URL: http://eprints.utas.edu.au/18605/1/2014_12_Matei.pdf
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Paper provided by University of Tasmania, Tasmanian School of Business and Economics in its series Working Papers with number 2014-12.

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Length: 43 pages
Date of creation: Sep 2014
Publication status: Published by the University of Tasmania. Discussion paper 2014-12
Handle: RePEc:tas:wpaper:18605
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Web page: http://www.utas.edu.au/business-and-economics

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