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Linking Large Currency Swings to Fundamentals' Shocks

November 30, 2017

World Bank-University of Malaya Joint Seminar

  • We test if large swings in currency prices are driven by economic fundamentals. Theoretically, we apply extreme value theory (EVT) to a monetary approach exchange rate model to investigate the contribution of the heavy-tailed macroeconomic fundamentals to the tail behavior of FX returns. Empirically, using the data of 34 countries from three continents, we provide evidence that both exchange rate returns and fundamentals are heavy tailed, and the variables are asymptotically dependent. The strongest tail links are between Asian and Latin American currency depreciations and fundamentals. The main drivers are monetary and financial variables. Real income shocks appear disconnected.


     

  • Phornchanok Cumperayot Kouwenberg

    Associate Professor, Faculty of Economics, Chulalongkorn University

    Phornchanok Cumperayot Kouwenberg holds a Bachelor of Quantitative Economics (First Class Honor, gold medal) and a Master of International Economics and Finance from Chulalongkorn University. Later on, she was granted Diplomas in Economics from London School of Economics and Tinbergen Graduate School. In 2002, she received a PhD degree from Tinbergen Graduate School, Erasmus University Rotterdam, with financial support from the Harvard Yenching Institute and Erasmus University Rotterdam. She is currently an associate professor at the Faculty of Economics, Chulalongkorn University. Her research focuses on international monetary economics, especially on uncertainty and catastrophic events in the foreign exchange markets. Her works have been awarded, and published in books and academic journals.

EVENT DETAILS

  • WHEN: Thursday, November 30, 2017; 12:30-2:00PM
  • WHERE: DK4, Block H11, Faculty of Economics and Administration, University of Malaya
  • RSVP: Kindly RSVP by Wednesday, November 29, 2017