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Financial market contagion in the Asian crisis

  • Ilan Goldfajn

    ()

    (Department of Economics PUC-Rio)

  • Taimur Baig

    ()

This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.

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File URL: http://www.econ.puc-rio.br/pdf/td400.pdf
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Paper provided by Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 400.

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Length: 55 pages
Date of creation: May 1999
Date of revision:
Handle: RePEc:rio:texdis:400
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  1. Chinn, Menzie D., 2000. "Before the fall: were East Asian currencies overvalued?," Emerging Markets Review, Elsevier, vol. 1(2), pages 101-126, September.
  2. Joshua Aizenman & Pierre-Richard Agénor, 1997. "Contagion and Volatility with Imperfect Credit Markets," IMF Working Papers 97/127, International Monetary Fund.
  3. Jeffrey Sachs & Aaron Tornell & Andres Velasco, 1996. "Financial Crises in Emerging Markets: The Lessons from 1995," Harvard Institute of Economic Research Working Papers 1759, Harvard - Institute of Economic Research.
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