Document Type

Journal Article


Edith Cowan University


Faculty of Business and Law


School of Accounting, Finance and Economics




This article was originally published as: Fei, P., Tsui, A., & Zhang, Z. (2011). East Asian financial crisis revisited: What does a copula tell?. International Journal of Business Studies (ECU), 19(1), 29-51. Original article available here


We construct a regime-switching model of copulas to capture observed asymmetric dependence in daily changes of exchange rates in five selected East Asian economies during the 1997 financial crisis era. In particular, we investigate the effects of the financial crisis on asymmetric dependence in exchange rates returns and assess the asymmetric relationships between five currencies, including the Singapore Dollar, Japanese Yen, South Korea Won, Thailand Baht and Indonesia Rupiah. Various time-varying copula models will also be applied to examine the possible structural breaks. The results confirm significant changes at the dependence level, tail behaviour and asymmetry structures between returns of all permuted pairs from the five currencies before and after the crisis. In comparison with other methods, it is found that the copular approach has more explanatory power than the existing ones in identifying structure breaks.