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Financial crises in Asia: concordance by asset market or country?

This paper investigates the extent of concordance in financial crises by both asset market and country in six Asian countries over the period 1970-2002. To that purpose we adapt a concordance index to deal with the typically low incidence of financial crises in both bivariate and multivariate settings. We find that in the Asian countries financial crises spread across markets over geographic borders rather than between markets within countries.

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Paper provided by University of Tasmania, Tasmanian School of Business and Economics in its series Working Papers with number 10575.

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Length: 28 pages
Date of creation: 01 Nov 2010
Date of revision: 01 Nov 2010
Publication status: Published by the University of Tasmania. Discussion paper 2010-12
Handle: RePEc:tas:wpaper:10575
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  1. Eichengreen, Barry, 2002. "Financial Crises and What to Do About Them," OUP Catalogue, Oxford University Press, number 9780199257447, December.
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  9. Joyce, Joseph P. & Nabar, Malhar, 2009. "Sudden stops, banking crises and investment collapses in emerging markets," Journal of Development Economics, Elsevier, vol. 90(2), pages 314-322, November.
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  11. Silvia Marchesi, 2001. "Adoption of an IMF Programme and Debt Rescheduling. An Empirical Analysis," Development Working Papers 152, Centro Studi Luca d'Agliano, University of Milano.
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  20. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "Varieties of Crises and Their Dates," Introductory Chapters, in: This Time Is Different: Eight Centuries of Financial Folly Princeton University Press.
  21. Vassilis A. Hajivassiliou, 1993. "A Simulation Estimation Analysis of the External Debt Crises of Developing Countries," Working Papers _022, Yale University.
  22. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
  23. Berg, Andrew & Pattillo, Catherine, 1999. "Predicting currency crises:: The indicators approach and an alternative," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 561-586, August.
  24. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
  25. Kala Krishna, 1985. "Protection and the Product Line: Monopoly and Product Quality," NBER Working Papers 1537, National Bureau of Economic Research, Inc.
  26. Prema-chandra Athukorala & Peter G. Warr, 2002. "Vulnerability to a Currency Crisis: Lessons from the Asian Experience," The World Economy, Wiley Blackwell, vol. 25(1), pages 33-57, 01.
  27. repec:dgr:rugccs:200313 is not listed on IDEAS
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