| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4325 |
| DP4325 Cross-Border Mergers as Instruments of Comparative Advantage | |
| Peter Neary | |
| 发表日期 | 2004-03-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | In this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence during crises depends on the tail properties of the fundamentals? distribution. We denote crisis linkages as either strong or weak, in the sense that the dependence remains or vanishes asymptotically. We show that if one currency return reaches crisis levels, the probability that the other currency breaks down as well vanishes asymptotically if the fundamentals? distributions exhibit light tails (like, for example, the normal). If, however, the marginal distributions exhibit heavy tails, the probability that the other currency breaks down as well remains strictly positive even in the limit. This result implies that linearity and heavy tails are sufficient conditions for joint or contagious currency crises to happen systematically through fundamentals. |
| 主题 | International Macroeconomics |
| 关键词 | Financial crises Currency market linkages Fundamentals Heavy tails Asymptotic dependence |
| URL | https://cepr.org/publications/dp4325 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533285 |
| 推荐引用方式 GB/T 7714 | Peter Neary. DP4325 Cross-Border Mergers as Instruments of Comparative Advantage. 2004. |
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