KOMÁREK, Luboš a Narcisa KADLČÁKOVÁ. Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory. Prague Economic Papers. Prague: University of Economics, Prague, 2017, roč. 26, č. 6, s. 690-721. ISSN 1210-0455. Dostupné z: https://dx.doi.org/10.18267/j.pep.634. |
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@article{6692, author = {Komárek, Luboš and Kadlčáková, Narcisa}, article_location = {Prague}, article_number = {6}, doi = {http://dx.doi.org/10.18267/j.pep.634}, keywords = {exchange rate; extreme value theory; contagion}, language = {eng}, issn = {1210-0455}, journal = {Prague Economic Papers}, title = {Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory}, url = {https://www.vse.cz/pep/634?lang=en}, volume = {26}, year = {2017} }
TY - JOUR ID - 6692 AU - Komárek, Luboš - Kadlčáková, Narcisa PY - 2017 TI - Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory JF - Prague Economic Papers VL - 26 IS - 6 SP - 690-721 EP - 690-721 PB - University of Economics, Prague SN - 12100455 KW - exchange rate KW - extreme value theory KW - contagion UR - https://www.vse.cz/pep/634?lang=en L2 - https://www.vse.cz/pep/634?lang=en N2 - This paper examines contagion in the foreign exchange markets of three Central European countries and the euro area. Contagion is viewed as the occurrence of extreme events taking place in different countries simultaneously and is assessed with a measure of asymptotic tail dependence among the studied distributions. Currency crisis contagion is one strand of this research. However, the main aim of the paper is to examine the potential of bubble contagion. To this end the representative exchange rates are linked to their fundamentals using a cointegration approach. Given the long-time range required by cointegration testing, the variables are first tested for unit roots with structural breaks, whose existence is supported by these tests. In the sequel, the extreme values of the differences between actual daily exchange rates and their monthly equilibrium values determine the episodes associated with large departures from equilibrium. Using tools from Extreme Value Theory, we analyse the transmission of both standard crisis and bubble formation events in the examined currency markets. The results reveal a significant potential for contagion in the currency markets of Central Europe. ER -
KOMÁREK, Luboš a Narcisa KADLČÁKOVÁ. Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory. \textit{Prague Economic Papers}. Prague: University of Economics, Prague, 2017, roč.~26, č.~6, s.~690-721. ISSN~1210-0455. Dostupné z: https://dx.doi.org/10.18267/j.pep.634.
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