Early warning systems for currency crises: Amultivariate extreme value approach

• Main Authors: Phornchanok Cumperayot, Roy Kouwenberg
• Other Authors: Chulalongkorn University
• Format: Article
• Published: 2018
• Subjects: Economics, Econometrics and Finance
• Online Access: https://repository.li.mahidol.ac.th/handle/123456789/31699
• Institution: Mahidol University

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:...