Early warning systems for currency crises: Amultivariate extreme value approach
We apply extreme value theory to assess the tail dependence between three currency crisis measures and 18 economic indicators commonly used for predicting crises. In our pooled sample of 46 countries in the period 1974-2008, we find that nearly all pairs of variables are asymptotically independent:...
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th-mahidol.316992018-10-19T11:53:51Z Early warning systems for currency crises: Amultivariate extreme value approach Phornchanok Cumperayot Roy Kouwenberg Chulalongkorn University Mahidol University Erasmus School of Economics Economics, Econometrics and Finance We apply extreme value theory to assess the tail dependence between three currency crisis measures and 18 economic indicators commonly used for predicting crises. In our pooled sample of 46 countries in the period 1974-2008, we find that nearly all pairs of variables are asymptotically independent: in the limit, extreme values of economic indicators are not followed by severe currency crashes. Our findings may explain the poor performance of existing early warning systems for currency crises. However, we do find that economic variables with stronger extremal association with the exchange rate have better crisis prediction performance, both in-sample and out-of-sample. © 2013 Elsevier Ltd. 2018-10-19T04:53:51Z 2018-10-19T04:53:51Z 2013-09-01 Article Journal of International Money and Finance. Vol.36, (2013), 151-171 10.1016/j.jimonfin.2013.03.008 02615606 2-s2.0-84877909976 https://repository.li.mahidol.ac.th/handle/123456789/31699 Mahidol University SCOPUS https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84877909976&origin=inward |
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Economics, Econometrics and Finance Phornchanok Cumperayot Roy Kouwenberg Early warning systems for currency crises: Amultivariate extreme value approach |
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We apply extreme value theory to assess the tail dependence between three currency crisis measures and 18 economic indicators commonly used for predicting crises. In our pooled sample of 46 countries in the period 1974-2008, we find that nearly all pairs of variables are asymptotically independent: in the limit, extreme values of economic indicators are not followed by severe currency crashes. Our findings may explain the poor performance of existing early warning systems for currency crises. However, we do find that economic variables with stronger extremal association with the exchange rate have better crisis prediction performance, both in-sample and out-of-sample. © 2013 Elsevier Ltd. |
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Chulalongkorn University |
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Chulalongkorn University Phornchanok Cumperayot Roy Kouwenberg |
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Phornchanok Cumperayot Roy Kouwenberg |
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Phornchanok Cumperayot |
title |
Early warning systems for currency crises: Amultivariate extreme value approach |
title_short |
Early warning systems for currency crises: Amultivariate extreme value approach |
title_full |
Early warning systems for currency crises: Amultivariate extreme value approach |
title_fullStr |
Early warning systems for currency crises: Amultivariate extreme value approach |
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Early warning systems for currency crises: Amultivariate extreme value approach |
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early warning systems for currency crises: amultivariate extreme value approach |
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2018 |
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https://repository.li.mahidol.ac.th/handle/123456789/31699 |
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1763495852956975104 |