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The impact of 2008 credit crisis on currency stability structure


Sharif, Shamshuritawati and Ismail, Suzilah and Omar, Zurni (2018) The impact of 2008 credit crisis on currency stability structure. International Journal of Productivity and Quality Management, 23 (1). pp. 128-136. ISSN 1746-6474

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Abstract

The depreciation of many currencies over the world has retarded the economic development during 2008 credit crisis. The aim of this study is to detect the existence of changes in the currency stability structure by using a new covariance structure test known as S∗ statistics for high dimensional data involving 74 currencies. Comparisons were made between monthly data and overall data of 2008. Further analysis was conducted using network topology to visualise the pattern of structural changes and identifying which currencies affected by the crisis. The findings disclose that October currency structure has the utmost changes as compared to overall structure 2008. Forty one (or 55%) currencies were affected. The most affected currencies were Austrian schilling (ATS) and followed by Lebanese pound (LBP) and Mexican peso (MXN). These findings reflect the major impact of 2008 credit crisis on deterioration currencies performance.

Item Type: Article
Uncontrolled Keywords: credit crisis; covariance test; high dimension; network topology; currencies performance.
Subjects: Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions: School of Quantitative Sciences
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 23 Jul 2018 01:17
Last Modified: 23 Jul 2018 01:17
URI: http://repo.uum.edu.my/id/eprint/24431

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