Contagion effects : evidence from the foreign exchange market risk

本项目试图阐明外汇市场中常见风险因素的相对重要性。我们提供了共同因素在所有县的相对重要性的证据。它们的重要性被强调，特别是在小国，暴露了这些国家在应对外部冲击方面的脆弱性。此外，无论地理位置如何，这些共同因素都被发现在很大程度上受到美国经济发展的影响。最后，在最近的危机期间，据报道，风险中的非平稳因素更为显著。

This project attempts to clarity the relative importance of common risks factors in foreign exchange markets. We provide evidence of the relative importance of common factors in all counties. Their importance is underlined particularly in small countries, unveiling the vulnerability of these countries in response to exogenous shocks. Furthermore, regardless of their geographical location, these common factors are found to be influenced largely by economic developments in the USA. And finally, during recent crisis periods non-stationary elements in the risks are reported to be more significant.