Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia
AbstractThis paper examines the dynamic linkages among financial markets in Thailand and Indonesia. In particular, we focus on the cross-border relationship in individual markets and on the relationship between finan- cial markets within each country. We find that while tight monetary policy pursued by Thailand authorities helped to defend the exchange rate at the outbreak of the financial crisis, it had little consequences for Indonesia at the end of 1998. The correlations between countries within each of the financial market reveals a certain degree of interde- pendence among countries, which is lower during crises.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Asian Economics.
Volume (Year): 18 (2007)
Issue (Month): 4 (August)
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Other versions of this item:
- Kuper, Gerard H. & Lestano, 2006. "Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia," CCSO Working Papers 200602, University of Groningen, CCSO Centre for Economic Research.
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