Central European foreign exchange markets: a cross-spectral analysis of the 2007 financial crisis

Gray, David

doi:10.1080/1351847x.2012.733314

Cited by 15 publications

(8 citation statements)

References 34 publications

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“…Gray (2012) conducts a co-spectral analysis of the 2007 GFC on the currency co-movements and contagion. Another study of Gray (2014) detects increase in the exchange rate co-movement intensity in a non-linear manner following the 2007 GFC. Additionally, his co-spectral analysis detects a shift toward greater co-movement among the high-frequency components of the spectrum.…”

Section: Previous Literaturementioning

confidence: 99%

Return and co-movement of major public real estate markets during global financial crisis

Liow

Angela

2017

JPIF

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Purpose The purpose of this paper is to investigate the volatility spectral of five major public real estate markets, namely, the USA, the UK, Japan (JP), Hong Kong (HK), and Singapore (SG), during the pre- and post-global financial crisis (GFC) periods. Design/methodology/approach First, univariate spectral analysis is concerned with discovering price cycles for the respective real estate markets. Second, bivariate cross-spectral analysis seeks to uncover whether any two real estate price series share common cycles with regard to their relative magnitudes and lead-lag patterns of the cyclical variations. Finally, to test the contagion effects, the authors estimate the exact percentage change in co-spectral density (cyclical covariance) due to high frequencies (short run) after the GFC. Findings The authors find that whilst none of the public real estate markets examined are spared from the crisis, the three Asian markets were less severely affected by the GFC and were accompanied by a reversal in volatility increase three years post-global financial crisis. Additionally, the public real estate markets studied have become more cyclically linked in recent years. This is particularly true at longer frequencies. Finally, these increased cyclical co-movements measure the outcomes of contagion and indicate fairly strong contagious effects between the public real estate markets examined due to the crisis. Research limitations/implications The implication of this research is that benefits to investors from international real estate diversification may not be as great during the present time compared to previous periods because national public real estate markets have become more correlated. Nevertheless, the findings do not imply the complete absence of diversification benefits. This is because although cyclical correlations increase in the short run, many of the correlation values are still between low and moderate range, indicating that some diversification benefits may still be realized. Practical implications Given the significant market share and the highest levels of securitization in Asia-Pacific markets including JP, HK/China, and SG, this cyclical research including major public real estate markets has practical implications for ongoing international real estate investment strategies, particularly for the USA/UK and Asian portfolio managers. Originality/value This paper contributes to the limited research on the cyclical return and co-movement dynamics among major public real estate markets during financial/economic crisis in international finance. Moreover, the frequency-domain analysis conducted in this paper adds to better understanding regarding the impact of GFC on the cyclical return volatility and co-movement dynamics of major developed public real estate markets in international investing.

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Section: Previous Literaturementioning

confidence: 99%

Return and co-movement of major public real estate markets during global financial crisis

Liow

Angela

2017

JPIF

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“…In the case of foreign exchange market one can compare our results with study Bubák et al (2011) or Gray (2014). Bubák et al (2014) studied the dynamics of volatility transmission between CEC and main currency pair, i.e.…”

Section: Extreme Value Theorymentioning

confidence: 83%

“…Furthermore, With the exception of the Czech Koruna, they also found no significant spillovers running from EUR/USD to the Central European foreign exchange markets. Gray (2014) investigates co-movements between currency markets of CEC and the Euro in the year following the drying up of money markets in August 2007. The paper asses the degree of foreign currency comovement by correlation analysis, which can lead to concluding, erroneously, that financial contagion has not occurred.…”

Section: Extreme Value Theorymentioning

confidence: 99%

Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory

Kadlcakova

Komarek

Komarkova

et al. 2015

Emerging Markets Finance and Trade

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The Working Paper Series of the Czech National Bank (CNB) is intended to disseminate the results of the CNB's research projects as well as the other research activities of both the staff of the CNB and collaborating outside contributors, including invited speakers. The Series aims to present original research contributions relevant to central banks. It is refereed internationally. The referee process is managed by the CNB Research Department. The working papers are circulated to stimulate discussion. The views expressed are those of the authors and do not necessarily reflect the official views of the CNB.

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“…A significant amount of paper considers the monetary policy as an external variable during currency market analysis, to identify structural changes in the environment, like interactions among currencies rather than on the impacts of unconventional balance sheet practices. Gray (2014) points to the intensified co-movements since August 2007, while Tamakoshi and Hamori (2014) detail the asymmetric responses in correlations with higher dependency during joint appreciation periods of the US dollar (USD), the euro (EUR), the British pound (GBP) and the Swiss franc (CHF). Stelios (2014) showed similar results for emerging markets, where the BRIC (Brazil, Russia, India and China) countries have become more internationally integrated after the US financial crisis.…”

Section: Theoretical Background Of Balance Sheet Expansion and Currenmentioning

confidence: 99%

Conventional and unconventional balance sheet practices and their impact on currency stability

Kiss

Balog

2018

IJMEF

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The principal objective of this study is to examine the different policy implications of balance sheet expansion and the impact on currency stability on a monthly basis. Balance sheets can evolve due to conventional and unconventional monetary practices, generally through foreign exchange reserve policies or by qualitative and quantitative easing. Monetary policy instruments are measured by different balance sheet ratios. Currency stability is captured by two methods, one focuses on monthly number of extreme currency fluctuations through the contravention of normal distribution at tails, and another utilises conditional volatility. The sample contains seven European central banks between 2006 and 2014: one manages a key currency, four has a safe haven currency while two of them are considered as an emerging currency. The key currency issuer central bank presented a significant interaction between its balance sheet ratios and currency stability only, where monetary expansion calmed its currency market.

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Central European foreign exchange markets: a cross-spectral analysis of the 2007 financial crisis

Cited by 15 publications

References 34 publications

Return and co-movement of major public real estate markets during global financial crisis

Return and co-movement of major public real estate markets during global financial crisis

Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory

Conventional and unconventional balance sheet practices and their impact on currency stability

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