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International Journal of Innovation and Applied Studies
ISSN: 2028-9324     CODEN: IJIABO     OCLC Number: 828807274     ZDB-ID: 2703985-7
 
 
Wednesday 14 November 2018

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Foreign exchange market and contagion: The evidence through GARCH model


Volume 7, Issue 1, July 2014, Pages 283–297

 Foreign exchange market and contagion: The evidence through GARCH model

KAMEL Si Mohammed1, Abderrezak BENHABIB2, and Samir MALIKI3

1 Department of Economics, University of Tlemcen, Tlemcen, Algeria
2 Department of Economics and Management, Tlemcen School of Economics, Tlemcen, Algeria
3 Department of Economics and Management, Tlemcen School of Economics, Tlemcen, Algeria

Original language: English

Received 9 June 2014

Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract


The goal of this study is to measure contagion phenomenon between foreign exchange markets during Subprime crisis & Eurozone crisis using daily data from 03/01/2005 to 02/01/2014 for fourteen selected countries namely Algeria, Argentina, Australia, china, India, Iceland, Great Britain, Malaysia, Nigeria, New-Zealand, Norway, Mexico, the Philippines and Russia via GARCH (1,1), GJR-GARCH(1,1), EGARCH(1,1), APARCH(1,1) models.
In our analysis, we will have discriminated between independent floaters and managed floaters exchange rate. We also separated the period estimate in two period's crises. Firstly, the US Subprime crisis period covers from 17/07/2007 through 31/08/2009 (See Dungey, 2009, Celik, 2012). Secondly, the period of the Euro-zone crisis that we have covered from 19.11.2009 to 31.12.2012 (See Wasim. A et all 2013).
In summary, we concluded of all exchange rates returns series influenced by the contagion effects come from USA and euro area over 2007-2012 periods. In addition to that, we documented that persistence volatility have been high shock in the countries adopting independent floating exchange rates compare the countries they supported managed floaters.


Author Keywords: contagion, subprime and Eurozone crises, GARCH model, Exchange Rate Regimes.


How to Cite this Article


KAMEL Si Mohammed, Abderrezak BENHABIB, and Samir MALIKI, “Foreign exchange market and contagion: The evidence through GARCH model,” International Journal of Innovation and Applied Studies, vol. 7, no. 1, pp. 283–297, July 2014.