An empirical analysis of currency volatilities during the recent global financial crisis

Ozer-Imer, Itir; Özkan, İbrahim

doi:10.1016/j.econmod.2014.09.008

Cited by 17 publications

(5 citation statements)

References 78 publications

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“…Ozer-Imer I. and Ozkan I. [35] concluded that there is a relationship between the duration of the crisis and the level of volatility. Thus, according to the results of the study, it was found that-following the outbreak of the crisis-the volatilities increased at least twofold, and that the volatility was negatively correlated with the crisis duration.…”

Section: Review Of Modern Work In the Field Of Crisis Research In The...mentioning

confidence: 99%

Development of an Econometric Model of Crisis and Assessment of the Crisis Risk

Ivanyuk

2023

Mathematics

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In this paper, the classification of crisis states and their dynamics is carried out. The asset crisis model is approximated and formalized. Invariant stationary components and the boundaries of crisis fluctuations are determined, which allows for predictions of the course of a crisis. The hypothesis of the phase invariance of crises is statistically confirmed, and four main phases and five marker points in the development of an investment asset crisis are distinguished. A statistical study of the changes in the value of 620 investment assets over 7 years (1,584,720 values) was conducted, including 710 crisis asset states (9940 values), which allowed us to formulate a mathematical model of crisis variability that makes it possible to detect the onset of crisis phases or the passage of marker points via the values of the first- and second-order derivatives of the model. This model has not only evaluative properties, but also predictive properties relative to the risk of a crisis asset, which is also confirmed experimentally. An experiment is conducted to assess the quality of the econometric crisis model, which is based on real historical data. The results of the experiment showed the high quality of the model as a crisis detection tool. A method of early detection of the initial crisis phase is developed, in which it is seen that a statistically unpredictable state causes such a change in the indicator that it violates the valid bound constraints.

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Section: Review Of Modern Work In the Field Of Crisis Research In The...mentioning

confidence: 99%

Development of an Econometric Model of Crisis and Assessment of the Crisis Risk

Ivanyuk

2023

Mathematics

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“…Ozer-Imer and Ozkan ( 2014 ) consider daily data of 16 currencies during the 2008–2009 global financial crisis by applying two-step estimations; the results indicate at least a twofold increase in volatilities with the outbreak. Kenorgios et al ( 2015 ) examine the impact of Central Bank announcements on volatility spillover between the Euro, British Pound and Japanese Yen.…”

Section: Literature Reviewmentioning

confidence: 99%

Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework

Baklaci

Yelkenci

2022

Eurasian Econ Rev

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This research aims to detect cross-border volatility linkages among various currencies within the foreign exchange market with respect to different sampling frequencies. Eleven currency pairs are included in the sample, which covers a period from 2009 to 2020. Volatility linkages among these selected exchange rates were tested by utilizing a multivariate VAR-BEKK-GARCH model. Results indicate that volatility linkages among currencies sampled are far stronger in higher frequency terms. Strikingly, the results denote that the major currencies do not play a strong leading role in volatility transmission. This finding is more apparent when daily and intraday results are compared.

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“…Ozer-Imer and Ozkan (2014) investigated the impact of the 2008–2009 global financial crisis on the co-movement of 16 currencies in the sample. It was analysed that volatilities increased at least twofold with the outbreak of the crisis and there is an inverse relationship between volatility and the duration of the crisis.…”

Section: Review Of Literaturementioning

confidence: 99%

Testing Structural Break in the Relationship Between Exchange Rate and Macroeconomic Variables

Jeelani

Tomar

Das³

et al. 2019

Vision: The Journal of Business Perspective

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The article aims to study the relationship between those macroeconomic factors that the affect (INR/USD) exchange rate (ER). Time series data of 40 years on ER, GDP, inflation, interest rate (IR), FDI, money supply, trade balance (TB) and terms of trade (ToT) have been collected from the RBI website. The considered model has suggested that only inflation, TB and ToT have influenced the ER significantly during the study period. Other macroeconomic variables such as GDP, FDI and IR have not significantly influenced the ER during the study period. The model is robust and does not suffer from residual heteroscedasticity, autocorrelation and non-normality. Sometimes the relationship between ER and macroeconomic variables gets affected by major economic events. For example, the Southeast Asian crisis caused by currency depreciation in 1997 and sub-prime loan crisis of 2008 severely strained the national economies. Any global economic turmoil will affect different economic variables through ripple effect and this, in turn, will affect the ER of different economies differently. The article has also diagnosed whether there is any structural break or not in the model by applying Chow’s Breakpoint Test and have obtained multiple breaks between 2003 and 2009. The existence of structural breaks during 2003–2009 is explained by the fact that volume of crude oil imported by India is high and oil price rise led to a deficit in the TB alarmingly, which caused a structural break or parameter instability.

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An empirical analysis of currency volatilities during the recent global financial crisis

Cited by 17 publications

References 78 publications

Development of an Econometric Model of Crisis and Assessment of the Crisis Risk

Development of an Econometric Model of Crisis and Assessment of the Crisis Risk

Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework

Testing Structural Break in the Relationship Between Exchange Rate and Macroeconomic Variables

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