Dynamic conditional correlation analysis of foreign exchange market contagion during subprime crisis

Abstract

The objective of this study is to measure contagion phenomenon between foreign exchange markets during Subprime crisis using daily data from 03/01/2005 to 02/01/2014for ten selected countries namely Algeria, Argentina, Australia, china, India, Great Britain, Malaysia, New-Zealand, Norwayand Russiavia Dynamic conditional correlation multivariate GARCH. In summary, we concluded of all exchange rates returns series influenced by the contagion effects come from USA. Moreover, we observed the mean Dynamic conditional correlation multivariate GARCH increase in financial compared the pre-crisis period.