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

Chan, Kam Fong; Powell, John; Treepongkaruna, Sirimon

Description

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...[Show more]

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
URI: http://hdl.handle.net/1885/75493
Source: Pacific-Basin Finance Journal
DOI: 10.1016/j.pacfin.2014.08.001

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