Open AccessAnalysis of the Distribution of Exchange-Rates near the 2008 Global Financial Crisis
Author(s) -
Doobae Jun,
Jinsu Kim,
Gwangil Kim
Publication year - 2020
Publication title -
academic journal of interdisciplinary studies
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.148
H-Index - 5
eISSN - 2281-3993
pISSN - 2281-4612
DOI - 10.36941/ajis-2020-0073
Subject(s) - kurtosis , financial crisis , stock exchange , exchange rate , economics , distribution (mathematics) , stock market , econometrics , financial system , business , monetary economics , financial economics , statistics , finance , mathematics , geography , macroeconomics , mathematical analysis , context (archaeology) , archaeology
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.