Monetary and Economic Studies Vol.21, No.2 / August 2003

An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory

Masahiro Fukuhara, Yasufumi Saruwatari

The objective of this paper is to analyze short-term contagion effects in emerging currency markets.
The originality of our paper lies in our survey used to present the microstructure of emerging currency markets and our empirical approach to contagion analysis through an estimation of tail dependence between pair currencies employing multivariate extreme value theory for the verification of results of our survey.

Keywords: Contagion; Multivariate extreme value theory; Emerging market currencies

Views expressed in the paper are those of the authors and do not necessarily reflect those of the Bank of Japan or Institute for Monetary and Economic Studies.

Copyright © 2003 Bank of Japan All Rights Reserved.

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