Extremes in FX returns and fundamentals

IF 3.6 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2026-02-01 Epub Date: 2025-11-19 DOI:10.1016/j.jimonfin.2025.103448

Phornchanok Cumperayot , Casper G. de Vries

引用次数: 0

Abstract

The likelihood of extreme FX returns is way higher than predicted by the normal distribution. Theory holds that macroeconomic fundamental shocks drive the exchange rate. If so, are there any extreme linkages between the variables? This article directly links large movements in exchange rates to economic fundamentals by means of multivariate extreme value theory (EVT). We find evidence for such a linkage between large depreciations and increases in money supply, prices, and interest rates. The relationship in the tails between the FX returns and observed monetary variables is documented during currency crisis episodes in Asian and Latin American countries.

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外汇回报和基本面的极端

极端外汇收益的可能性远远高于正态分布的预测。理论认为，宏观经济基本面冲击驱动汇率。如果有，变量之间是否存在极端联系？本文通过多元极值理论（EVT）将汇率的大幅变动与经济基本面直接联系起来。我们发现了大量贬值与货币供应、价格和利率增加之间存在这种联系的证据。外汇收益与观察到的货币变量之间的尾部关系在亚洲和拉丁美洲国家的货币危机期间被记录下来。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.