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Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data

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Abstract

We formally test that a process containing Brownian motion and jumps characterises the high frequency observations for eight Asian currencies against the US dollar. By harnessing the changes in behaviour of the data during periods of stress we develop a new indicator to detect stress dates in currency markets. We find that the global share of currency trade for each currency relates to the frequency of stress days detected. We align the stress dates to economic and political conditions using central bank and IMF reports on developments in currency markets.

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  • Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2014. "Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data," Working Papers 2014-12, University of Tasmania, Tasmanian School of Business and Economics.
    • Handle: RePEc:tas:wpaper:18605
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    Cited by:

    1. Mardi Dungey & Marius Matei & Matteo Luciani & David Veredas, 2017. "Surfing through the GFC: Systemic Risk in Australia," The Economic Record, The Economic Society of Australia, vol. 93(300), pages 1-19, March.
    2. Pattanaporn Chatjuthamard & Pavitra Jindahra & Pattarake Sarajoti & Sirimon Treepongkaruna, 2021. "The effect of COVID‐19 on the global stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4923-4953, September.

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