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

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dc.contributor.authorChan, Kam Fong
dc.contributor.authorPowell, John
dc.contributor.authorTreepongkaruna, Sirimon
dc.date.accessioned2015-12-13T22:32:16Z
dc.date.issued2014
dc.date.updated2015-12-11T09:06:00Z
dc.description.abstractEmerging 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.
dc.identifier.issn0927-538X
dc.identifier.urihttp://hdl.handle.net/1885/75493
dc.publisherElsevier
dc.sourcePacific-Basin Finance Journal
dc.titleCurrency jumps and crises: Do developed and emerging market currencies jump together?
dc.typeJournal article
local.bibliographicCitation.lastpage157
local.bibliographicCitation.startpage132
local.contributor.affiliationChan, Kam Fong, The University of Queensland
local.contributor.affiliationPowell, John, College of Business and Economics, ANU
local.contributor.affiliationTreepongkaruna, Sirimon, University of Western Australia
local.contributor.authoruidPowell, John, u5266111
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor150200 - BANKING, FINANCE AND INVESTMENT
local.identifier.ariespublicationU3488905xPUB4645
local.identifier.citationvolume30
local.identifier.doi10.1016/j.pacfin.2014.08.001
local.identifier.scopusID2-s2.0-84907367980
local.identifier.thomsonID000347603700008
local.type.statusPublished Version

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