Detecting Contagion in Asian Exchange Rate Markets Using Asymmetric DCC-GARCH and R-vine Copulas

Publicado en

• Economic Systems

Resumen

• This study uses asymmetric DCC-GARCH models and copula functions to study exchange rate contagion in a group of twelve Asia-Pacific countries. Using daily data between November 1991 and March 2017, we show that extreme market movements are mainly associated with the high degree of interdependence registered by countries in this region. Evidence of contagion is scarce. Asymmetries do not appear to be important. Specifically, currency co-movements are statistically identical during times of extreme market appreciation and depreciation, indicating that phenomena such as the fear of “appreciation” do not appear to be relevant in the region’s foreign exchange markets.

autores

• Gómez-González, José Eduardo
• Rojas-Espinosa, Wilmer

fecha de publicación

• 2019

Área temática

• C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados
• C51 - Construcción de modelos y estimación
• E42 - Sistemas monetarios; Patrones; Regímenes; Gobierno y sistema monetario; Sistemas de pago

Enfoque geográfico

• Asia  Continent

Líneas de investigación

• Asian Financial Crisis
• Copula Functions
• DCC-GARCH Models
• Exchange Rate Contagion

Identificador de objeto digital (DOI)

• https://doi.org/10.1016/j.ecosys.2019.100717

Volumen

• 43

Issue

• 3