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首页> 外文期刊>International Review of Financial Analysis >Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis
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Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis

机译：亚太货币的极端溢出效果：基于匹配的分析

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摘要

The Asia-Pacific region remains understudied regarding return connectedness among exchange rate markets. Furthermore, previous studies mostly use average-based estimators to measure return connectedness, even though they are not necessarily suitable to quantify connectedness measures during extreme events, i.e. in the tails of the conditional distribution. The aim of this paper is to study the dynamic connectedness among 11 Asia-Pacific exchange rates from September 1994 to August 2019, not only on average but also in the left and right tails. Using mean-based measures of connectedness, the level of return connectedness is on average 32%, indicating a moderate level of connectedness across the currencies under study. However, using a novel quantilebased connectedness framework, the level of connectedness is found to be much higher, reaching around 85% at both the left and right tails of the conditional distribution. This result shows that return connectedness across the 11 exchange rates is much stronger during extreme negative and extreme positive events, suggesting that the application of mean-based models of connectedness in the Asia-Pacific exchange rate markets is too restrictive and inadequate. Furthermore, return connectedness measures are time-varying in all cases, but are less volatile in the tails. A detailed analysis involving the relative tail dependence shows that an asymmetric behaviour is present, indicating that return spillovers differ between periods of extreme market depreciations and periods of extreme market appreciations.
机译：亚太地区对汇率市场之间的回报联系仍然被解读。此外，以前的研究大多使用基于平均的估计来测量返回连接，即使它们不一定适合在极端事件期间量化连接度测量，即在条件分布的尾部。本文的目的是从1994年9月至2019年8月的11次亚太汇率研究动态联系，而不仅仅是平均而且在左右尾巴上。使用基于平均的关联度量，返回连接水平平均为32％，表明在研究中的货币上的适度连接程度。然而，使用新的定量基迹框架，发现连接水平要高得多，在条件分布的左右尾部达到约85％。这一结果表明，在极端负面和极端的阳性事件中，11次汇率的回报连通度强得更强大，这表明亚太汇率市场中的平均关联模式的应用过于严格和不足。此外，在所有情况下，返回连接度量是时变的，但尾部的挥发性较小。涉及相对尾依赖性的详细分析表明存在不对称行为，表明返回溢出率在极端市场贬值期间与极端市场升值期之间的不同。

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