Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F26138077%3A_____%2F17%3A%230000903" target="_blank" >RIV/26138077:_____/17:#0000903 - isvavai.cz</a>
Result on the web
<a href="https://www.vse.cz/pep/634?lang=en" target="_blank" >https://www.vse.cz/pep/634?lang=en</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.18267/j.pep.634" target="_blank" >10.18267/j.pep.634</a>

Result language
angličtina
Original language name
Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory
Original language description
This paper examines contagion in the foreign exchange markets of three Central European countries and the euro area. Contagion is viewed as the occurrence of extreme events taking place in different countries simultaneously and is assessed with a measure of asymptotic tail dependence among the studied distributions. Currency crisis contagion is one strand of this research. However, the main aim of the paper is to examine the potential of bubble contagion. To this end the representative exchange rates are linked to their fundamentals using a cointegration approach. Given the long-time range required by cointegration testing, the variables are first tested for unit roots with structural breaks, whose existence is supported by these tests. In the sequel, the extreme values of the differences between actual daily exchange rates and their monthly equilibrium values determine the episodes associated with large departures from equilibrium. Using tools from Extreme Value Theory, we analyse the transmission of both standard crisis and bubble formation events in the examined currency markets. The results reveal a significant potential for contagion in the currency markets of Central Europe.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GA16-21506S" target="_blank" >GA16-21506S: New Sources of Systemic Risk in the Financial Markets</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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