مقاله انگلیسی رایگان در مورد وابستگی متقابل بازارهای ارز خارجی ( الزویر )

مقاله سال 2016

A major issue facing international investors is to identify whether observed financial market fluctuations are mainly due to contagion or fundamentals.1 This is because when increasing volatility and crossmarket linkages are due to a contagion, they disappear after a few days. However, if increasing fluctuation and co-movements are due to fundamental variables, they are likely to continue for a long time. Thus, an investigation into financial contagion is critical because of its damaging impact on the global economy in relation to portfolio risk management, the formulation of monetary and fiscal policy, and strategic asset allocation and pricing.

Recently, authors have subdivided financial market “linkage” into “interdependence” and “contagion.” Interdependence represents a state of stable period relationships that are driven by fundamentals (Jung and Maderitsch, 2014). This interdependence theory emphasizes real linkage and fundamental integration as channels for transmission shocks between two markets in crisis and non-crisis periods. In this regard, Flavin and Sheenan (2015) define interdependence as market correlations that exist in all global conditions and arise because of standard asset market linkages and exposure to common risk sources. Ahmad et al. (2013) examine financial contagion and interdependence in the stock markets of Brazil, Russia, India, Indonesia, China, South Korea, and South Africa (BRIICKS) during the eurozone crisis. The study reports that Brazil, Russia, India, China, and South Africa were strongly affected by the contagion shock during the crisis; however, Indonesia and South Korea reported only interdependence and not contagion. Further, Shen et al. (2015) estimate a time-varying parameter correlation coefficient for the stock returns of the eurozone and China. This tests whether the European debt crisis was contagious and identifies interdependence and pure contagion across countries.

In contrast, the state of contagion is characterized by strong and sudden changes in measured market linkages. Despite the large amount of literature on financial market contagion, disagreement exists about the exact definition of what constitutes contagion and how we should measure it. In this study, we follow the definition of Forbes and Rigobon (2002) who define contagion as a significant increase in cross-market linkages after the occurrence of a shock in one country. In this context, Jung and Maderitsch (2014) provide evidence of volatility transmission among international financial markets and find the volatility spillover effect from foreign markets. Kenourgios and Dimitriou (2015) investigate the contagion effects of the global financial crisis (2007–2009) by examining 10 sectors in six developed and emerging regions and indicate that the most severe contagion effects existed after the failure of Lehman Brothers, thereby limiting the effectiveness of portfolio diversification. Loaiza-Maya et al. (2015) test contagion among the exchange rates of the six largest Latin American countries by implementing a regular vine copula approach. Their study reports that they find evidence of contagion among the Brazilian, Chilean, Colombian, and Mexican exchange rates and that there are differences in contagion during periods of large exchange rate depreciation and appreciation. Thus, understanding the direction of financial contagion not only has important implications for cross-market risk management and international asset pricing; governments must also design economic policies to diminish the negative effects caused by external crises. Particularly in recent years, in the context of U.S. subprime issues and subsequent eurozone disturbance, distinguishing between contagion and interdependence, and examining the direction and degree of financial contagion, is of significant concern. Thus, these topics form the basis of our research.