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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국자료분석학회 Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제18권 제5호
- 발행연도
- 2016.1
- 수록면
- 2,393 - 2,404 (12page)
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Using Hawkes process, this paper examines the transmission of jump shocks between Korea and one of seven Asian foreign exchange markets (Australia, Indonesia, Japan, Philippines, Singapore, Thailand, Taiwan). In univariate estimation, all Asian foreign exchange markets show a fair amount of evidence of self-excitation which means that an occurrence of jump increases the jump intensity of its own future jump. Korea, Indonesia and Thailand foreign exchange market show bigger self-excitation effect than the other countries. Bivariate model estimation suggests asymmetric cross-excitation which is a feedback from a jump in one market to future jumps of the other market. Japan, Taiwan and Indonesia have more influence on the jump of Korean won than the reverse. But Korea has more influence on the jump intensities of Australia, Philippines, Singapore and Thailand than they have on Korea. The estimation of the size of jump excitation may be useful for policy makers and exchange risk managers.
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참고문헌 (13)
참고문헌 신청
Ait-Sahalia, Y. / 2015 / Modeling financial contagion using mutually exciting jump processes / Journal of Financial Economics 111:585~606
Bollerslev, T. / 1990 / Modelling the coherence in short-run nominal exchange rates : a multivariate generalized ARCH approach / Review of Economics and Statistics 72:498~505
Chan, W. H. / 2003 / A correlated bivariate Poisson jump model for foreign exchange / Empirical Economics 28:669~685
Chan, W. H. / 2002 / Conditional jump dynamics in stock market returns / Journal of Business and Economic Statistics 20(3):377~389
Chang, K. H. / 2002 / Jumps and time-varying correlations in daily foreign exchange rates / Journal of International Money and Finance 20:611~637
Bollerslev, T. / 1990 / Modelling the coherence in short-run nominal exchange rates : a multivariate generalized ARCH approach / Review of Economics and Statistics 72:498~505
Chan, W. H. / 2003 / A correlated bivariate Poisson jump model for foreign exchange / Empirical Economics 28:669~685
Chan, W. H. / 2002 / Conditional jump dynamics in stock market returns / Journal of Business and Economic Statistics 20(3):377~389
Chang, K. H. / 2002 / Jumps and time-varying correlations in daily foreign exchange rates / Journal of International Money and Finance 20:611~637
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