Title: The impact of 2008 credit crisis on currency stability structure

Authors: Shamshuritawati Sharif; Suzilah Ismail; Zurni Omar

Addresses: School of Quantitative Sciences, College of Arts and Sciences, Universiti Utara Malaysia, 06010 UUM Sintok, Kedah, Malaysia ' School of Quantitative Sciences, College of Arts and Sciences, Universiti Utara Malaysia, 06010 UUM Sintok, Kedah, Malaysia ' School of Quantitative Sciences, College of Arts and Sciences, Universiti Utara Malaysia, 06010 UUM Sintok, Kedah, Malaysia

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.

Keywords: credit crisis; covariance test; high dimension; network topology; currencies performance.

DOI: 10.1504/IJPQM.2018.088619

International Journal of Productivity and Quality Management, 2018 Vol.23 No.1, pp.128 - 136

Received: 20 May 2016
Accepted: 31 Dec 2016
Published online: 13 Dec 2017 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article