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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA16-21506S" target="_blank" >GA16-21506S: Nové zdroje systémového rizika na finančních trzích</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Prague Economic Papers

ISSN

1210-0455

e-ISSN

2336-730X

Svazek periodika

26

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

32

Strana od-do

690-721

Kód UT WoS článku

000419928500004

EID výsledku v databázi Scopus

2-s2.0-85038401175