Wang Haiying, Yuan Ying, Li Yiou, Wang Xunhong
School of Business Administration, Northeastern University, Shenyang 110169, China.
Department of Mathematical Sciences, DePaul University, Chicago, IL 60605, USA.
Econ Model. 2021 Jan;94:401-414. doi: 10.1016/j.econmod.2020.10.002. Epub 2020 Oct 13.
We propose a new approach to the study of financial contagion and contagion channels in the forex market by using a dynamic mixture copula-extreme value theory (DMC-EVT) model. This method allows us to elucidate the complex and dynamic dependence between forex markets. By analyzing 39 currencies that are actively traded on the forex market during the period 2005-2009, our empirical study shows that the DMC-EVT model outperforms the alternative copula models. Furthermore, we confirm the existence of financial contagion in the forex market during the 2007-2009 global financial crisis, and find that wealth constraints are the contagion channel during the crisis. Our results provide important insights on portfolio and risk management.
我们提出了一种通过使用动态混合Copula-极值理论（DMC-EVT）模型来研究外汇市场中金融传染和传染渠道的新方法。这种方法使我们能够阐明外汇市场之间复杂的动态依存关系。通过分析2005年至2009年期间在外汇市场上活跃交易的39种货币，我们的实证研究表明，DMC-EVT模型优于其他Copula模型。此外，我们证实了在2007-2009年全球金融危机期间外汇市场中存在金融传染现象，并发现财富约束是危机期间的传染渠道。我们的结果为投资组合和风险管理提供了重要的见解。
