A Cospectral Analysis of Exchange Rate Comovements During Asian Financial Crisis
Posted: 13 Apr 2014
Date Written: 2009
Abstract
Comovements of exchange rates before and during Asian financialcrisis are examined using cross-spectral methodology. The paper proposes and implements a simple frequency-domain-based test for contagion that avoids biases of the correlation breakdown tests used in the extant literature. The Asian crisis is found to be manifest in greater comovements along high-frequency components. Calculated changes in the high-frequency portion of the covariance indicate a contagion for 48 out of the possible 66 pairs of countries in the sample.
Keywords: Exchange rate comovements, Financial crisis, Cospectral analysis
JEL Classification: F31, F36, C14
Suggested Citation: Suggested Citation
Orlov, Alexei G., A Cospectral Analysis of Exchange Rate Comovements During Asian Financial Crisis (2009). Journal of International Financial Markets, Institutions and Money, Vol. 19, No. 5, 2009, Available at SSRN: https://ssrn.com/abstract=2424142
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