Currency jumps and crises: Do developed and emerging market currencies jump together?

Kam Fong Chan, John G. Powell and Sirimon Treepongkaruna

Pacific-Basin Finance Journal, 2014, vol. 30, issue C, 132-157

Abstract: Emerging market currencies tend to jump together, thus intensifying short-term risk, whereas developed market currency jumps and cojumps are much less prevalent. Emerging market currency jumps are considerably more severe, especially during crisis periods. Jumps represent a majority of emerging market currency volatility, in stark contrast to the much lower jump contribution previously documented for developed market currencies. Emerging market currency jumps and cojumps do not appear to respond to macroeconomic news announcements, a new result that is in sharp contrast to developed market currency jumps and cojumps.

Keywords: Bipower variation; Realized jump variation; Currency cojumps; Emerging markets; Macroeconomic announcements (search for similar items in EconPapers)
JEL-codes: C01 C58 G01 G11 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X14000778
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:pacfin:v:30:y:2014:i:c:p:132-157

DOI: 10.1016/j.pacfin.2014.08.001

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().