EconPapers    
Economics at your fingertips  
 

Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets

Erdem Kilic

Economic Modelling, 2017, vol. 62, issue C, 51-67

Abstract: Financial contagion in forex markets is modeled by the application of a bivariate Hawkes stochastic jump process. The self-exciting and mutually exciting properties of the jump-clustering model allow for illustrating internal and cross-sectional transmission processes. The results obtained suggest stronger effects from US to mutual markets than in the reverse case. Cross-sectional excitation dynamics in the spot markets are larger than in the forward markets. As a central result, we can observe that the results for the Hawkes-model parameters are more significant in the forward markets. Transmission dynamics beyond volatility determine the likelihood of contagion occurrence. The significance of the decay parameters towards the long term jump intensities supports the importance of abrupt fluctuations in the contagion discourse.

Keywords: Financial contagion; Jump clustering; Hawkes process (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999316305594
Full text for ScienceDirect subscribers only

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:eee:ecmode:v:62:y:2017:i:c:p:51-67

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-07-15
Handle: RePEc:eee:ecmode:v:62:y:2017:i:c:p:51-67