International Conference on Eurasian Economies
17-18 September 2013 – St. Petersburg, RUSSIA
Paper detail
Paper ID : 728
Status : Paper published
Language : English
Topic : Finance and Financial Crises
Presenter: Prof. Dr. Malgorzata Doman
Session : 5A Finance I
The Impact of the US Dollar and the Euro on Currencies in Europe and Asia
The Impact of the US Dollar and the Euro on Currencies in Europe and Asia
- Prof. Dr. Malgorzata Doman (Poznan University of Economics, Poland)
- Prof. Dr. Ryszard Doman (Adam Mickiewicz University, Poland)
Abstract
In this paper, we analyze dependencies between the currencies of chosen emerging countries and the major (global) currencies – the euro and the American dollar. The idea is taken from a paper by Eun and Lai proposing a method to verify an opinion that currencies systematically co-move and the pattern of co-movement is significantly driven by the relative influence of the two global currencies. The observation by Eun and Lai is that in the case when a minor currency XYZ is driven by the US dollar, the exchange rates XYZ/EUR and USD/EUR co-move very closely. In the opposite case, i.e. when the XYZ is influenced by the euro, the exchange rates XYZ/USD and EUR/USD show strong interdependence. In our approach, the dynamics of dependencies is modeled by means of 3-regime Markov regime switching copula models, and the considered measures of the strength of the linkages are dynamic Spearman’s rho and tail dependence coefficients. Applying the Markov regime switching copula models allows us to capture temporal changes in the impact of the global currencies on the analyzed minor ones. Our results show that the euro area of influence is widening, and that during the considered period some of the analyzed currencies are releasing from the US dollar impact.
JEL codes: F31, C32, C58
Doman, Malgorzata, Doman, Ryszard (2013). "The Impact of the US Dollar and the Euro on Currencies in Europe and Asia " in Proceedings of International Conference of Eurasian Economies 2013, pp.152-161, St. Petersburg, RUSSIA.
DOI: https://doi.org/10.36880/C04.00728
