Agata Kliber , Paweł Kliber
ARTICLE

(Polish) PDF

ABSTRACT

In the paper we try to analyze the interrelations between currencies in Central Europe during the financial crisis in 2008. In order to find out the transition mechanism of the crisis we estimate the jumps (i.e. sudden changes) in exchange rates of four currencies of the region: Polish Zloty, Hungarian Forint, Czech Crown and Slovakian Crown. We use the obtained moments of jumps as dummy variables in GARCH models for exchange rates. Then we also estimate co-jumps for pairs of analyzed currencies to check how much of the volatility is due to the common jumps. The results suggest that sudden jumps in any currency causes the changes in levels of other currencies (although not in volatility of other currencies) and that the common jumps in Polish zloty and Hungarian forint had the greatest influence.

KEYWORDS

currency crises, jump-diffusion models, volatility of exchange rates, GARCH models, realized variation

REFERENCES

[1] Baj L., Forint złoty dwa bratanki. Niestety dla Polaków, „Gazeta Wyborcza”, art. z dn. 10.10.2008.

[2] Barndorff-Nielsen O.E., Shephard N., [2004], Power and bipower variation with stochastic volatility and jumps, „Journal of Financial Econometrics”, 2, s. 1-48.

[3] Barndorff-Nielsen O.E., Shephard N., [2006], Econometrics of testing for jumps in financial economics using bipower variation, „Journal of Financial Econometrics”, 4, s. 1-30.

[4] Black F., [1976], Studies of Stock Price Volatility Changes, Proceedings of the 1976 Meeting of the American Statistical Association, s. 177-181.

[5] Black F., Scholes M., [1973], The Pricing of Options and Corporate Liabilities, „Journal of Political Economy”, 81, s. 637-654.

[6] Bollerslev T., [1986], Generalized Autoregressive Conditional Heteroskedasticity, „Journal of Econometrics”, 31, s. 307-327.

[7] Cont R., Tankov P., [2004], Financial Modelling with Jump Processes, Chapmann & Hall.

[8] Doman M., [2009], Interdependencies in the European Currency Market, Matłoka M. [ed.] Quantitive Methods in Economics, Wydawnictwo Uniwersytetu Ekonomicznego w Poznaniu.

[9] Doman M., [2009], Modelling Volatility and Conditional Correlations: Do Holidays Matter?, prezentacja na konferencji Macromodels Internationa Conference, Bochnia.

[10] Engle R.F., Bollerslev T., [1986], Modeling the Persistence of of Conditional Variances, „Econometric Reviews”, 5, s. 1-50.

[11] Engle R.F., Ito T., Lin W., [1990], Meteor Showers or Heat Waves? Heteroskedastic Intra- Daily Volatility in the Foreign Exchange Market, „Econometrica”, 58, s. 525-542.

[12] Fan J., Wan Y., [2007], Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data, „Journal of American Statistical Assotiation”, 102, s. 1349-1362.

[13] Forbes K., Rigobon R., [2002], No Contagion, Only Interpendence: Measuring Stock Market Co-Movements, „The Journal of Finance”, 57, s. 2223-2261.

[14] Huang B.N., Yang C.W., [2003], An Analysis of Exchange Rate Linkage Effect: an Application of the Multivariate Correlation Analysis, „Journal of Asian Economics”, 14, s. 337-351.

[15] Jiang G.J., Oomen R.C.A., [2008], Testing for Jumps When Asset Prices are Observed with Noise – A Swap Variance Approach, „Journal of Econometrics”, Vol. 144, s. 352-370.

[16] Kliber A., [2010], Stopy procentowe i kursy walutowe. Zależność i powiązania w gospodarkach środkowoeuropejskich, Wolers Kluwer Polska – OFICYNA.

[17] Lee S.S., Mykland P.A., [2006], Jumps in Real-time Financial Markets: A New Nonparametric Test and Jump Dynamics, Technical Report No. 566, Department of Statistics, University of Chicago.

[18] Mandelbrot B.B., Hudson R.L., [2005], Fraktale und Finanzen, Piper.

[19] Merton R., [1976], Option pricing when underlying stock returns are discontinuous, „Journal of Financial Economics”, 3, s. 125-144.

[20] Mussa M., [1982], A Model of Exchange Rate Dynamics, „Journal of Political Economy”, 90, s. 74-104.

[21] Nelson D.B., [1991], Conditional Heteroskedasticity in Asset Returns: A New Approach, „Econometrica”, 59, s. 347-370.

[22] Protter P.E., [2005], Stochastic Integration and Differential Equations, Springer.

[23] Taylor M.P., [1995], The Economics of Exchange Rates, „Journal of Economic Literature”, 33, s. 13-47.

[24] Wang Y., [1995], Jump and Sharp Cusp Detection via Wavelets, „Biometrica”, 822, s. 385-397.

Back to top
Copyright © 2019 Statistics Poland