Munich Personal RePEc Archive

Detecting exchange rate contagion in Asian exchange rate markets using asymmetric DDC-GARCH and R-vine copulas

Gomez-Gonzalez, Jose and Rojas-Espinosa, Wilmer (2018): Detecting exchange rate contagion in Asian exchange rate markets using asymmetric DDC-GARCH and R-vine copulas.

WarningThere is a more recent version of this item available.
[img]
Preview
PDF
MPRA_paper_88578.pdf

Download (992kB) | Preview

Abstract

This study uses asymmetric DCC-GARCH models and copula functions for studying exchange rate contagion in a group of twelve Asia-Pacific countries. Using daily data between November 1991 and March 2017, shows that extreme market movements are mainly associated with the high degree of interdependence registered by countries in this region. The evidence of contagion is scarce. Asymmetries do not appear to be important. Specifically, currency co-movements are statistically identical during times of extreme market appreciation and depreciation, indicating that phenomena such as the "fear of appreciation" do not appear to be relevant in the region's foreign exchange markets.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.