Analysis of the Distribution of Exchange-Rates near the 2008 Global Financial Crisis

Doobae Jun, Jinsu Kim and Gwangil Kim

Academic Journal of Interdisciplinary Studies, 2020, vol. 9

Abstract: We search for indicators that might have predicted the 2008 financial crisis, by analyzing the standardized normalized distribution of exchange-rates. We find that this distribution was close to normal during the crisis, but had an exceptionally high kurtosis in the second quarter of 2006, indicating the beginning of long-term USD weakness. Somewhat nearer to the crisis, we can also see suggestive fluctuations in some exchange-rates. Further, we analyze stock-market indices across the crisis, and show that they responded more sensitively than exchange-rates, and that the distribution of stock-market indices also has an exceptional value of kurtosis at Q2 2006, suggesting that the kurtosis of the distribution of exchange-rates might have provided as an early indicator of the crisis.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.richtmann.org/journal/index.php/ajis/article/view/12147 (text/html)
https://www.richtmann.org/journal/index.php/ajis/article/view/12147/11746 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bjz:ajisjr:1926

DOI: 10.36941/ajis-2020-0073

Access Statistics for this article

More articles in Academic Journal of Interdisciplinary Studies from Richtmann Publishing Ltd
Bibliographic data for series maintained by Richtmann Publishing Ltd ().