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High Frequency Contagion of Currency Crises in Asia

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  • Takatoshi Ito
  • Yuko Hashimoto

Abstract

Using daily data during the period of Asian Currency Crises, this paper examines high-frequency contagion effects among Asian six countries. By identifying the origin' (of exchange rate depreciation, or decline in stock prices) and the affected' (currencies, or stock prices) in spillover relationship, Indonesia and Korea are found to be the two main origin countries, affecting exchange rates and stock prices of other countries. Evidence of high-frequency crisis spillover from Thailand to other countries was weak at best. A positive relationship between trade link indices and the contagion coefficients is found, implying that the bilateral trade linkage is an important factor for currency market participants to expect which currency should be affected within days of an original a shock in the exchange rate of a particular country.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 9376.

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Date of creation: Dec 2002
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Publication status: published as Ito, Takatoshi and Yuko Hashimoto. "High-Frequency Contagion Of Currency Crises In Asia," Asian Economic Journal, 2005, v19(4,Dec), 357-381.
Handle: RePEc:nbr:nberwo:9376

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  1. Taimur Baig & Ilan Goldfajn, 1999. "Financial Market Contagion in the Asian Crisis," IMF Staff Papers, Palgrave Macmillan, vol. 46(2), pages 3.
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    • Takatoshi Ito, 2000. "Capital Flows in Asia," NBER Chapters, in: Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages 255-296 National Bureau of Economic Research, Inc.
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Cited by:
  1. Jan P.A.M. Jacobs & Gerard H. Kuper & Lestano, 2004. "Currency crises in Asia: A multivariate logit approach," International Finance, EconWPA 0409005, EconWPA.
  2. Pavlova, Anna & Rigobon, Roberto, 2005. "Wealth Transfers, Contagion and Portfolio Constraints," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5117, C.E.P.R. Discussion Papers.
  3. Haidar, Jamal Ibrahim, 2012. "Currency crisis transmission through international trade," Economic Modelling, Elsevier, Elsevier, vol. 29(2), pages 151-157.
  4. Lestano & Jacobs, Jan P.A.M., 2004. "A comparison of currency crisis dating methods: East Asia 1970-2002," CCSO Working Papers, University of Groningen, CCSO Centre for Economic Research 200412, University of Groningen, CCSO Centre for Economic Research.
  5. Lee, Hsien-Yi & Wu, Hsing-Chi & Wang, Yung-Jang, 2007. "Contagion effect in financial markets after the South-East Asia Tsunami," Research in International Business and Finance, Elsevier, Elsevier, vol. 21(2), pages 281-296, June.
  6. Hsien-Yi LEE, 2011. "Contagion in International Stock Markets During the sub Prime Mortgage Crisis," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 8, pages 141-158, December.
  7. Jan P. A. M. Lestano, 2007. "Dating currency crises with ad hoc and extreme value-based thresholds: East Asia 1970-2002 [Dating currency crises]," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 12(4), pages 371-388.
  8. Hsien-Yi Lee, 2012. "Contagion in International Stock Markets during the Sub Prime Mortgage Crisis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(1), pages 41-53.

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