Analysis of the Distribution of Exchange-Rates near the 2008 Global Financial Crisis

Authors

  • Doobae Jun Department of Mathematics, Gyeongsang National University, Jinju, Republic of Korea; Research Institute of Natural Science, Gyeongsang National University, Jinju, Republic of Korea
  • Jinsu Kim Department of Mathematics, Gyeongsang National University, Jinju, Republic of Korea
  • Gwangil Kim Department of Mathematics, Gyeongsang National University, Jinju, Republic of Korea; Research Institute of Natural Science, Gyeongsang National University, Jinju, Republic of Korea

DOI:

https://doi.org/10.36941/ajis-2020-0073

Abstract

We search for indicators that might have predicted the 2008 financial crisis, by analyzing the standardized normalized distribution of exchange-rates. We find that this distribution was close to normal during the crisis, but had an exceptionally high kurtosis in the second quarter of 2006, indicating the beginning of long-term USD weakness. Somewhat nearer to the crisis, we can also see suggestive fluctuations in some exchange-rates. Further, we analyze stock-market indices across the crisis, and show that they responded more sensitively than exchange-rates, and that the distribution of stock-market indices also has an exceptional value of kurtosis at Q2 2006, suggesting that the kurtosis of the distribution of exchange-rates might have provided as an early indicator of the crisis.

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Published

2020-07-10

How to Cite

Jun, D. ., Kim, J. ., & Kim, G. . (2020). Analysis of the Distribution of Exchange-Rates near the 2008 Global Financial Crisis. Academic Journal of Interdisciplinary Studies, 9(4), 187. https://doi.org/10.36941/ajis-2020-0073

Issue

Section

Research Articles