Currency crises, (hidden) linkages, and volume
Download paperThe 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 and Max Bruche and Gabriele Galati}, title = {Currency crises, (hidden) linkages, and volume}, year = 2007, }
Risk research
Jon Danielson's research papers on systemic risk, artificial intelligence, risk forecasting, financial regulations and crypto currencies.© All rights reserved, Jon Danielsson,