We apply extreme value theory to assess the tail dependence between three currency crises measures and 18 economic indicators commonly used for predicting crises. In our pooled sample of 46 countries in the period 1974-2008, we find that nearly all pairs of variables are asymptotically...

This study investigates the effects of the recent global crisis on the relative efficiency of six CEE currency markets, using the Generalized Spectral test of Escanciano and Velasco (2006) in a rolling window approach. The empirical results show that the global crisis adversely affected the...

We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE) countries using high-frequency data from 2009 to 2022. We assess asymmetries in connectedness (not investigated for CE currencies before) and document domination of the negative...

Interest rate differentials between China and the rest of the world provide an attractive target for currency carry trade strategies, but remains problematic due to existing capital controls. We focus on copper holdings as an asset used to facilitate the carry trade. Using a unique dataset of...

We empirically test Gabaix and Maggiori (2015)’s prediction that currencies are repriced by the country’s external capital dependence when financial constraints of FX intermediaries change. Using solvency indicators, we develop a novel intermediary constraints index capturing riskbearing...

This paper analyses volatility, persistence, predictability, correlation, comovement (or contagion risk) and sudden stop (reversibility) of capital flows (foreign direct investment (FDI), foreign portfolio equity investment, long-term and short-term debt flows) using time series econometric...