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Contagion and capital flows: an empirical analysis of the Asian crisis

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Author Info
L. van Wersch
P.J.G. Vlaar

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Abstract

In the nineties, the number of currency crises has been high, both in the industrial world and among emerging countries. An important characteristic of many of these crises is that they started in one country but very soon affected others as well. Currency crises seemed to be contagious. In this article, it is investigated whether the interdependence of capital flows to Asian countries was affected by the crisis in Thailand. It will be shown that the transmission of capital flows to Indonesia and Korea was affected by the Asian crisis, whereas for the Philippines no significant change in the interdependence could be detected.

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File URL: http://www.dnb.nl/binaries/wo0622_tcm46-145936.pdf
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Publisher Info
Paper provided by Netherlands Central Bank, Research Department in its series WO Research Memoranda (discontinued) with number 622.

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Date of creation: 2000
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Handle: RePEc:dnb:wormem:622

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Related research
Keywords: crisis conditional dependence; identification based on variance increase;

Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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This page was last updated on 2009-11-11.


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