Testing For Financial Contagion Between Developed And Emerging Markets During The 1997 East Asian Crisis
AbstractIn this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France).Following Forbes and Rigobon (2002), we test for contagion as a significant positive shift in the correlation between asset returns, taking into account heteroscedasticity and endogeneity bias. Furthermore, we improve on earlier empirical studies by carrying out a full sample test of the stability of the system that relies on more plausible (over)identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan (the major international lender in the region), which drastically cut its credit lines to the other Asian countries in 1997.
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Bibliographic InfoPaper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 05-08.
Length: 17 pages
Date of creation: Apr 2005
Date of revision:
Contact details of provider:
Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK
Other versions of this item:
- Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini & Nicola Spagnolo, 2005. "Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 359-367.
- Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini, 2003. "Testing for Financial Contagion between Developed and Emerging Markets during the 1997 East Asian Crisis," Economics Working Paper Archive wp_370, Levy Economics Institute, The.
- NEP-ALL-2005-11-05 (All new papers)
- NEP-CFN-2005-11-05 (Corporate Finance)
- NEP-FIN-2005-11-05 (Finance)
- NEP-FMK-2005-11-05 (Financial Markets)
- NEP-IFN-2005-11-05 (International Finance)
- NEP-PKE-2005-11-05 (Post Keynesian Economics)
- NEP-SEA-2005-11-05 (South East Asia)
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.:
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