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A cospectral analysis of exchange rate comovements during Asian financial crisis

  • Orlov, Alexei G.

Comovements of exchange rates before and during Asian financial crisis are examined using cross-spectral methodology. The paper proposes and implements a simple frequency-domain-based test for contagion that avoids biases of the correlation breakdown tests used in the extant literature. The Asian crisis is found to be manifest in greater comovements along high-frequency components. Calculated changes in the high-frequency portion of the covariance indicate a contagion for 48 out of the possible 66 pairs of countries in the sample.

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Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 19 (2009)
Issue (Month): 5 (December)
Pages: 742-758

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Handle: RePEc:eee:intfin:v:19:y:2009:i:5:p:742-758
Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

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