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Financial Market Contagion in the Asian Crisis

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Author Info
Taimur Baig (International Monetary Fund)
Ilan Goldfajn (International Monetary Fund)
Abstract

This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. We find that correlations in currency and sovereign spreads increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. We construct a set of dummy variables using daily news to capture the impact of own-country and cross-border news on the markets. We show that after controlling for own-country news and other fundamentals, there is evidence of cross-border contagion in the currency and equity markets. Copyright 1999, International Monetary Fund

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Publisher Info
Article provided by Palgrave Macmillan Journals in its journal IMF Staff Papers.

Volume (Year): 46 (1999)
Issue (Month): 2 ()
Pages: 3
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Handle: RePEc:pal:imfstp:v:46:y:1999:i:2:p:3

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Related research
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Find related papers by JEL classification:
F30 - International Economics - - International Finance - - - General
F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

Cited by:
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  1. Sergio L. Schmukler & Tatiana Didier & Paolo Mauro, 2006. "Vanishing Contagion?," IMF Policy Discussion Papers 06/01, International Monetary Fund. [Downloadable!]
  2. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research. [Downloadable!]
  3. Andrew K. Rose & Mark M. Spiegel, 2009. "Cross-Country Causes and Consequences of the 2008 Crisis: International Linkages and American Exposure," NBER Working Papers 15358, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Larry Neal & Marc Weidenmier, 2002. "Crises in the Global Economy from Tulips to Today: Contagion and Consequences," NBER Working Papers 9147, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. Tao Sun & Xiaojing Zhang, 2009. "Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets," IMF Working Papers 09/166, International Monetary Fund. [Downloadable!]
  6. W. Jos Jansen, 2003. "What Do Capital Inflows Do? Dissecting the Transmission Mechanism for Thailand, 1980-96," Macroeconomics 0309012, EconWPA. [Downloadable!]
    Other versions:
  7. Roberto Perrelli & Christian B. Mulder, 2001. "Foreign Currency Credit Ratings for Emerging Market Economies," IMF Working Papers 01/191, International Monetary Fund. [Downloadable!]
  8. Olcay Yucel Culha & Fatih Ozatay & Gulbin Sahinbeyoglu, 2006. "The Determinants of Sovereign Spreads in Emerging Markets," Working Papers 0604, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  9. Francisco J. Climent & Vicente Meneu, . "Has 1997 Asian Crisis Increased Information Flows Between International Markets?," Working Papers on International Economics and Finance 01-01, FEDEA. [Downloadable!]
    Other versions:
  10. Sergio Godoy, 2005. "Emerging Market Spreads at the Turn of The Century: A Roller Coaster Sergio Godoy," Working Papers Central Bank of Chile 339, Central Bank of Chile. [Downloadable!]
  11. Ryuzo Miyao, 2004. "Economic Fundamentals or Financial Panic? An Empirical Study on the Origins of the Asian Crisis," Discussion Paper Series 151, Research Institute for Economics & Business Administration, Kobe University. [Downloadable!]
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