Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Asian Economics.
Volume (Year): 14 (2003)
Issue (Month): 1 (February)
Contact details of provider:
Web page: http://www.elsevier.com/locate/asieco
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Obstfeld, Maurice, 1986.
"Rational and Self-fulfilling Balance-of-Payments Crises,"
American Economic Review,
American Economic Association, vol. 76(1), pages 72-81, March.
- Maurice Obstfeld, 1986. "Rational and Self-Fulfilling Balance-of-Payments Crises," NBER Working Papers 1486, National Bureau of Economic Research, Inc.
- Roberto Rigobon, 2002.
"Contagion: How to Measure It?,"
in: Preventing Currency Crises in Emerging Markets, pages 269-334
National Bureau of Economic Research, Inc.
- Caplin, A. & Leahy, J., 1992.
"Business as Usual, Market Crashes, and Wisdom after the Fact,"
Harvard Institute of Economic Research Working Papers
1594, Harvard - Institute of Economic Research.
- Caplin, Andrew & Leahy, John, 1994. "Business as Usual, Market Crashes, and Wisdom after the Fact," American Economic Review, American Economic Association, vol. 84(3), pages 548-65, June.
- Caplin, A. & Leahy, J., 1992. "Business as Usual, Market Crashes and Wisdom After the Fact," Discussion Papers 1992_18, Columbia University, Department of Economics.
- Claessens, Stijn, 1991. "Balance of payments crises in an optimal portfolio model," European Economic Review, Elsevier, vol. 35(1), pages 81-101, January.
- Tobin, James, 1998. "World economy and financial markets," Japan and the World Economy, Elsevier, vol. 10(3), pages 377-379, July.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Guillermo A. Calvo, 1996.
"Capital flows and macroeconomic management: tequila lessons,"
Working Papers in Applied Economic Theory
96-02, Federal Reserve Bank of San Francisco.
- Calvo, Guillermo A, 1996. "Capital Flows and Macroeconomic Management: Tequila Lessons," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 1(3), pages 207-23, July.
- Agenor, Pierre-Richard & Aizenman, Joshua & Hoffmaister, Alexander, 1999.
"Contagion, bank lending spreads, and output fluctuations,"
Policy Research Working Paper Series
2186, The World Bank.
- P.R. Agenor & J. Aizenman & A. Hoffmaister, 1998. "Contagion, Bank Lending Spreads and Output Fluctuations," NBER Working Papers 6850, National Bureau of Economic Research, Inc.
- Gerlach, Stefan & Smets, Frank, 1995.
"Contagious speculative attacks,"
European Journal of Political Economy,
Elsevier, vol. 11(1), pages 45-63, March.
- Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
- Pavan Ahluwalia, 1999. "Discriminating Contagion - An Alternative Explanation of Contagious Currency Crises in Emerging Markets," IMF Working Papers 00/14, International Monetary Fund.
- Ranil Salgado & Luca Antonio Ricci & Francesco Caramazza, 2000. "Trade and Financial Contagion in Currency Crises," IMF Working Papers 00/55, International Monetary Fund.
- Taimur Baig & Ilan Goldfajn, 1998. "Financial Market Contagion in the Asian Crisis," IMF Working Papers 98/155, International Monetary Fund.
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
- International Monetary Fund, 1999. "Sources of Contagion: Finance or Trade?," IMF Working Papers 99/146, International Monetary Fund.
- Hiro Y. Toda & Peter C.B. Phillips, 1991.
"Vector Autoregression and Causality,"
Cowles Foundation Discussion Papers
977, Cowles Foundation for Research in Economics, Yale University.
- Sato, Shuhei, 1998. "Asian Financial Crisis," Japan and the World Economy, Elsevier, vol. 10(3), pages 371-375, July.
- Jun Nagayasu, 2000.
"Currency Crisis and Contagion - Evidence from Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand,"
IMF Working Papers
00/39, International Monetary Fund.
- Nagayasu, Jun, 2001. "Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand," Journal of Asian Economics, Elsevier, vol. 12(4), pages 529-546.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Tobin, James, 1998. "Asian financial crisis," Japan and the World Economy, Elsevier, vol. 10(3), pages 351-353, July.
- Flood, Robert P. & Garber, Peter M., 1984. "Collapsing exchange-rate regimes : Some linear examples," Journal of International Economics, Elsevier, vol. 17(1-2), pages 1-13, August.
- Masahiro Kawai, 1998. "The East Asian Currency Crisis: Causes And Lessons," Contemporary Economic Policy, Western Economic Association International, vol. 16(2), pages 157-172, 04.
- Sweta Chaman Saxena & Valerie Cerra, 2000. "Contagion, Monsoons, and Domestic Turmoil in Indonesia - A Case Study in the Asian Currency Crisis," IMF Working Papers 00/60, International Monetary Fund.
- Willman, Alpo, 1988. "The collapse of the fixed exchange rate regime with sticky wages and imperfect substitutability between domestic and foreign bonds," European Economic Review, Elsevier, vol. 32(9), pages 1817-1838, November.
- Sarmistha Pal, 2005.
"Do External Funds Yield Lower Returns? Recent Evidence From East Asian Economies,"
Development and Comp Systems
- Driffield, Nigel & Pal, Sarmistha, 2006. "Do external funds yield lower returns?: Recent evidence from East Asian economies," Journal of Asian Economics, Elsevier, vol. 17(1), pages 171-188, February.
- Sarmistha Pal & Nigel Driffield, 2003. "Do External Funds Yield Lower Returns ? Recent Evidence From East Asian Economies," Finance 0309002, EconWPA, revised 15 Mar 2004.
- Essahbi Essaadi & Jamel Jouini & Walih Khallouli, 2007.
"The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis,"
0725, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
- Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2009. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(2), pages 241-260, June.
- Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2004. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print halshs-00201220, HAL.
- Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2009. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print halshs-00404386, HAL.
- 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.
- Ahmed M. Khalid & Gulasekaran Rajaguru, 2006. "Financial Market Integration in Pakistan: Evidence Using Post-1999 Data," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(4), pages 1041-1053.
- Silvia S.W. Lui, 2006. "An Empirical Study of Asian Stock Volatility Using Stochastic Volatility Factor Model: Factor Analysis and Forecasting," Working Papers 581, Queen Mary, University of London, School of Economics and Finance.
- Kalbaska, A. & Gątkowski, M., 2012. "Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 657-673.
- Ahmed M. Khalid & Gulasekaran Rajaguru, 2004. "Financial Market Linkages in South Asia: Evidence Using a Multivariate GARCH Model," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(4), pages 585-603.
- Khan, Saleheen & Park, Kwang Woo (Ken), 2009. "Contagion in the stock markets: The Asian financial crisis revisited," Journal of Asian Economics, Elsevier, vol. 20(5), pages 561-569, September.
- Mardi Dungey & Renée Fry & Vance L. Martin, 2006. "Correlation, Contagion, and Asian Evidence," Asian Economic Papers, MIT Press, vol. 5(2), pages 32-72, June.
- 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.
- Leitao, Joao & Armada, Manuel Rocha & Ferreira, Joaaquim, 2012. "Corruption and Co-Movements in European Listed Sport Companies: Did Calciocaos really matter?," MPRA Paper 42474, University Library of Munich, Germany.
- Leitão, João, 2012. "Regulation and football brand: Can we talk about a Taylor Effect on the performances of the Red Devils?," Edition HWWI: Chapters, in: Zur Ökonomik von Spitzenleistungen im internationalen Sport, pages 49-71 Hamburg Institute of International Economics (HWWI).
- Renee Fry & Vance L. Martin & Chrismin Tang, 2008. "A New Class Of Tests Of Contagion With Applications To Real Estate Markets," CAMA Working Papers 2008-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.