Currency crises, (hidden) linkages, and volume

   Jón Daníelsson, M. B. and G. Galati (2007, February). Currency crises, (hidden) linkages, and volume.

Download paper
The conference presentation was based on Bruche et al (2006) who study contagion in foreign exchange markets in the post- Asian crisis era. They develop a factor model specific to foreign exchange markets, where a keys explanatory variable is foreign exchange trading volume. They find that their model identifies crisis episodes where volume has significant explanatory power. This suggests that trading volume would be an important variable policy makers should monitor in their analysis of currency crisis.

@MISC{DanielssonBrucheGalati2007,
 author =  {J{\'o}n Dan{\'\i}elsson, Max Bruche and Gabriele Galati},
 title =   {Currency crises, (hidden) linkages, and volume},
 year =    2007,
 url =     {RiskResearch.org},
}