Contagion and the Asian Currency Crisis
AbstractThis study attempts to examine relationships among exchange rates in the Asian region using cointegration methods and to isolate country-specific effects of contagion using an error correction model. Monthly data covering the period from July 1992 to December 1997 are used. Dynamic simulations of exchange rates with and without short-run effects of exchange rate shocks are performed. The results indicate that stable long-run relationships exist among exchange rates in the region. Simulation results for some countries indicate that these countries' exchange rates would have depreciated in the long run even in the absence of the short-run effects of potential contagion from other countries, while for other countries the opposite is true. Copyright 1999 by Blackwell Publishers Ltd and The Victoria University of Manchester
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Bibliographic InfoArticle provided by University of Manchester in its journal Manchester School.
Volume (Year): 67 (1999)
Issue (Month): 5 (Special Issue)
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- AuYong, Hue Hwa & Gan, Christopher & Treepongkaruna, Sirimon, 2004. "Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 479-515.
- D Brookfield & A Azizan, 2006. "Contagion and the Role of Market Development: the Case of the Malaysian Futures Market during the East Asian Crisis of 1997," Economic Issues Journal Articles, Economic Issues, vol. 11(2), pages 1-18, September.
- Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of Shocks across Global Financial Markets: The Role of Contagion and Investors' Risk Appetite," Open Access publications from Tilburg University urn:nbn:nl:ui:12-384477, Tilburg University.
- Younes Boujelbène & Majdi Ksantini, 2009. "La transmission entre les marchés boursiers :Une analyse en composante principale," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 52(2), pages 161-194.
- Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance, 2006. "Contagion in international bond markets during the Russian and the LTCM crises," Journal of Financial Stability, Elsevier, vol. 2(1), pages 1-27, April.
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