TY - JOUR
T1 - Examining stress in Asian currencies
T2 - A perspective offered by high frequency financial market data
AU - Dungey, Mardi
AU - Matei, Marius
AU - Treepongkaruna, Sirimon
PY - 2020/7
Y1 - 2020/7
N2 - By harnessing the changes in jump behavior of high frequency currency market data we construct a means of detecting stress dates in exchange rates. Using 5-min data for Asian currencies covering more than 20 years from 1996 to 2018 we align the identified stress dates to domestic and international economic and political events or exchange rate management actions. Each currency has distinctive characteristics, particularly evident with political turmoil and exchange rate management. While we find some evidence that liquidity is related to financial stress, cross-country results show that increased liquidity does not dramatically contribute to the identification of a stressful episode.
AB - By harnessing the changes in jump behavior of high frequency currency market data we construct a means of detecting stress dates in exchange rates. Using 5-min data for Asian currencies covering more than 20 years from 1996 to 2018 we align the identified stress dates to domestic and international economic and political events or exchange rate management actions. Each currency has distinctive characteristics, particularly evident with political turmoil and exchange rate management. While we find some evidence that liquidity is related to financial stress, cross-country results show that increased liquidity does not dramatically contribute to the identification of a stressful episode.
KW - Exchange rates
KW - Financial crises
KW - High frequency
KW - Jumps
UR - http://www.scopus.com/inward/record.url?scp=85086045653&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2020.101200
DO - 10.1016/j.intfin.2020.101200
M3 - Article
AN - SCOPUS:85086045653
VL - 67
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
SN - 1042-4431
M1 - 101200
ER -