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Currency Crisis and Contagion

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  • Jun Nagayasu

Abstract

This paper analyzes empirically the recent Asian financial crisis using high frequency data of exchange rates and stock indices of the Philippines and Thailand. Utilizing standard time-series techniques, this study confirms that there is evidence that developments in some sectoral indices—including those of banking and financial sectors—seem to have caused upward pressure on exchange rates. A correlation between some of these variables is also found to be strong across countries in the crisis period, thereby confirming the importance of the linkages between financial markets as a transmission channel of the Thai crisis to the Philippines.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 00/39.

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Length: 26
Date of creation: 01 Feb 2000
Date of revision:
Handle: RePEc:imf:imfwpa:00/39

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Related research

Keywords: Exchange rates; stock indices; contagion; currency crisis; currency crises; stock index; financial crisis; asian crisis; pre-crisis; stock price; stock prices; financial market; currency devaluation; asian financial crisis; present value; financial markets; financial sector; financial crises; financial deregulation; financial liberalization; financial contagion; financial intermediation; flexible exchange rate; financial regulations; international banking facility; economic crisis; hedge; international capital; nominal exchange rate; financial assets; systemic risk; stock exchange; hedge funds; interest rate liberalization; crisis contagion; hedging; competitiveness; stock price indices; financial market crisis; future value; international reserves;

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Cited by:
  1. Stefan Eichler & Dominik Maltritz, 2011. "Stock Market‐Induced Currency Crises—A New Type of Twins," Review of Development Economics, Wiley Blackwell, Wiley Blackwell, vol. 15(2), pages 223-236, 05.
  2. W N W Azman-Saini & M S Habibullah & Siong Hook Law & A M Dayang-Affizzah, 2007. "Stock Prices, Exchange Rates and Causality in Malaysia: A Note," The IUP Journal of Financial Economics, IUP Publications, IUP Publications, vol. 0(1), pages 7-13, March.
  3. Khalid, Ahmed M. & Kawai, Masahiro, 2003. "Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model," Journal of Asian Economics, Elsevier, Elsevier, vol. 14(1), pages 131-156, February.
  4. Jirasakuldech, Benjamas & Emekter, Riza & Rao, Ramesh P., 2008. "Do Thai stock prices deviate from fundamental values?," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 16(3), pages 298-315, June.
  5. Younes Boujelbène & Majdi Ksantini, 2009. "La transmission entre les marchés boursiers :Une analyse en composante principale," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, ULB -- Universite Libre de Bruxelles, vol. 52(2), pages 161-194.

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