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Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia

  • Kuper, Gerard H.
  • Lestano

This paper examines the dynamic linkages among financial markets in Thailand and Indonesia. In particular, we focus on the cross-border relationship in individual markets and on the relationship between finan- cial markets within each country. We find that while tight monetary policy pursued by Thailand authorities helped to defend the exchange rate at the outbreak of the financial crisis, it had little consequences for Indonesia at the end of 1998. The correlations between countries within each of the financial market reveals a certain degree of interde- pendence among countries, which is lower during crises.

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Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 18 (2007)
Issue (Month): 4 (August)
Pages: 670-684

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Handle: RePEc:eee:asieco:v:18:y:2007:i:4:p:670-684
Contact details of provider: Web page: http://www.elsevier.com/locate/asieco

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