ANALYSIS OF FRAGILITY LEVELS OF FRAGILE FIVE IN TERMS OF EXCHANGE RATES

Abstract

This paper analyzes the structural breaks and times of “Fragile Five” currencies’ against USD Dollar. Thus study tries to find the consistency of “Fragile Five” via structural break unit root test over currencies. Paper analyzes the structural breaks under two parts which contain Jan 2010- June 2013 and July 2013-Dec 2016 by taking weekly closing currency figures. Study focuses on the fragility of currencies of that  countries through Kapetanios unit root test that allows five breaks of series. According to test results all countries except Turkey have one structural break whereas Turkey has four between 2010:01-2013:07. Additionally, between 2013:08-2016:12 all countries have just one structural break date. Findings of the study reveals that classification of "Fragile Five" can be changed after analyze of other macroeconomic indicators in terms of consistency. 

Keywords

• Fragile five,developing countries,exchange rates,2008 financial Ccisis,kapetanios unit root test

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