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Identifying Periods of Financial Stress in Asian Currencies: The Role of High Frequency Financial Market Data

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Dungey, M and Matei, M and Treepongkaruna, S (2014) Identifying Periods of Financial Stress in Asian Currencies: The Role of High Frequency Financial Market Data. Discussion Paper. University of Tasmania, University of Tasmania. (Unpublished)

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Abstract

We formally test that a process containing Brownian motion and jumps characterises the high frequency observations for eight Asian currencies against the US dollar. By harnessing the changes in behaviour of the data during periods of stress we develop a new indicator to detect stress dates in currency markets. We find that the global share of currency trade for each currency relates to the frequency of stress days detected. We align the stress dates to economic and political conditions using central bank and IMF reports on developments in currency markets.

Item Type: Report (Discussion Paper)
Keywords: high frequency data,
Publisher: University of Tasmania
Additional Information:

Copyright 2014 University of Tasmania

Date Deposited: 08 Oct 2014 23:23
Last Modified: 18 Nov 2014 05:05
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