Examining stress in Asian currencies: A perspective offered by high frequency financial market data

Mardi Dungey, Marius Matei and Sirimon Treepongkaruna

Journal of International Financial Markets, Institutions and Money, 2020, vol. 67, issue C

Abstract: By harnessing the changes in jump behavior of high frequency currency market data we construct a means of detecting stress dates in exchange rates. Using 5-min data for Asian currencies covering more than 20 years from 1996 to 2018 we align the identified stress dates to domestic and international economic and political events or exchange rate management actions. Each currency has distinctive characteristics, particularly evident with political turmoil and exchange rate management. While we find some evidence that liquidity is related to financial stress, cross-country results show that increased liquidity does not dramatically contribute to the identification of a stressful episode.

Keywords: Jumps; Financial crises; Exchange rates; High frequency (search for similar items in EconPapers)
JEL-codes: C5 F3 G1 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300846

DOI: 10.1016/j.intfin.2020.101200

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