An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory

Masahiro Fukuhara and Yasufumi Saruwatari
Additional contact information
Masahiro Fukuhara: U Tsukuba and Barclays Global Investors
Yasufumi Saruwatari: Institute of Policy and Planning Sciences, U Tsukuba

Monetary and Economic Studies, 2003, vol. 21, issue 2, 113-131

Abstract: The objective of this paper is to analyze short-term contagion effects in emerging currency markets. The originality of our paper lies in our survey used to present the microstructure of emerging currency markets and our empirical approach to contagion analysis through an estimation of tail dependence between pair currencies employing multivariate extreme value theory for the verification of results of our survey.

JEL-codes: G15 O19 (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.imes.boj.or.jp/research/papers/english/me21-2-5.pdf (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:ime:imemes:v:21:y:2003:i:2:p:113-131

Access Statistics for this article

More articles in Monetary and Economic Studies from Institute for Monetary and Economic Studies, Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Kinken ().