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Currency crises and the evolution of foreign exchange market: Evidence from minimum spanning tree

Cited 62 time in Web of Science Cited 64 time in Scopus
Authors
Jang, Wooseok; Lee, Junghoon; Chang, Woojin
Issue Date
2011-02-15
Publisher
ELSEVIER SCIENCE BV
Citation
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS; Vol.390 4; 707-718
Keywords
Foreign exchange rateCurrency crisisMinimum spanning tree
Abstract
We examined the time series properties of the foreign exchange market for 1990-2008 in relation to the history of the currency crises using the minimum spanning tree (MST) approach and made several meaningful observations about the MST of currencies. First, around currency crises, the mean correlation coefficient between currencies decreased whereas the normalized tree length increased. The mean correlation coefficient dropped dramatically passing through the Asian crisis and remained at the lowered level after that. Second, the Euro and the US dollar showed a strong negative correlation after 1997, implying that the prices of the two currencies moved in opposite directions. Third, we observed that Asian countries and Latin American countries moved away from the cluster center (USA) passing through the Asian crisis and Argentine crisis, respectively. (C) 2010 Elsevier B.V. All rights reserved.
ISSN
0378-4371
Language
English
URI
http://hdl.handle.net/10371/74929
DOI
https://doi.org/10.1016/j.physa.2010.10.028
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College of Engineering/Engineering Practice School (공과대학/대학원)Dept. of Industrial Engineering (산업공학과)Journal Papers (저널논문_산업공학과)
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