TY - JOUR
T1 - Currency jumps and crises
T2 - Do developed and emerging market currencies jump together?
AU - Chan, Kam Fong
AU - Powell, John G.
AU - Treepongkaruna, Sirimon
PY - 2014/11
Y1 - 2014/11
N2 - Emerging market currencies tend to jump together, thus intensifying short-term risk, whereas developed market currency jumps and cojumps are much less prevalent. Emerging market currency jumps are considerably more severe, especially during crisis periods. Jumps represent a majority of emerging market currency volatility, in stark contrast to the much lower jump contribution previously documented for developed market currencies. Emerging market currency jumps and cojumps do not appear to respond to macroeconomic news announcements, a new result that is in sharp contrast to developed market currency jumps and cojumps.
AB - Emerging market currencies tend to jump together, thus intensifying short-term risk, whereas developed market currency jumps and cojumps are much less prevalent. Emerging market currency jumps are considerably more severe, especially during crisis periods. Jumps represent a majority of emerging market currency volatility, in stark contrast to the much lower jump contribution previously documented for developed market currencies. Emerging market currency jumps and cojumps do not appear to respond to macroeconomic news announcements, a new result that is in sharp contrast to developed market currency jumps and cojumps.
KW - Bipower variation
KW - Currency cojumps
KW - Emerging markets
KW - Macroeconomic announcements
KW - Realized jump variation
UR - http://www.scopus.com/inward/record.url?scp=84907367980&partnerID=8YFLogxK
U2 - 10.1016/j.pacfin.2014.08.001
DO - 10.1016/j.pacfin.2014.08.001
M3 - Article
SN - 0927-538X
VL - 30
SP - 132
EP - 157
JO - Pacific Basin Finance Journal
JF - Pacific Basin Finance Journal
ER -