Foreign Exchange Market Contagion in the Asian Crisis: A Regression-Based Approach

This paper investigates whether, during the Asian crisis, contagion occurred from Thailand to the other crisis countries through the foreign exchange market, and, if so, determines the contribution of this contagion to the crisis. More specifically, we examine whether the effect of the exchange market pressure (EMP) of Thailand, the origin of the crisis, on the EMP of four Asian crisis countries increased during the crisis. Instead of measuring contagion by the commonly used correlation coefficients, we apply regression analysis. To control for the impact of macroeconomic fundamentals, we construct a time-varying indicator measuring the fragility of each economy. Additionally, we control for spillovers and common external shocks. We find evidence of contagion from Thailand to Indonesia and Malaysia, with 13 and 21 percent of the pressure on the respective currencies attributable to that contagion. For Korea and the Philippines there is no evidence of contagion from Thailand. JEL no. F30, F31, G15     

Time-varying beta and the Asian financial crisis: Evidence from the Asian industrial sectors

This paper empirically investigates the effects of the Asian financial crisis of 1997–98, and the period immediately afterwards, on the time-varying beta of four industrial sectors (chemical, finance, retail and industry) of Indonesia, Singapore, South Korea, and Taiwan. We apply daily data from 1992 to 2002 and the bivariate MA-GARCH model (BEKK) to create the time-varying industrial betas. Results provide evidence of the influence of the Asian financial crisis, and the period after, on the time-varying industrial betas of these countries. These results may have implications for investors who are interested in portfolio risk management.     

Origins of the financial crisis and requirements for reform

This paper examines the causes of the global financial crisis (focusing in particular on why residential mortgage-backed securities and credit default swaps exploded from around 2004) and the policy reform agenda. Arbitrage opportunities in capital rules and the tax system were available, and changes in regulations affecting the leverage of international banks (IBs) played a key role in allowing these opportunities to be exploited on a greater scale. Changes to the Basel rules also actively contributed to the sharp rise in toxic securities. The policy agenda focuses on the need to deal with toxic assets, and for broader reforms to incentive structures, not only of capital rules, but also of corporate governance and banking structures. Specific policy reform recommendations are made. Recent numbers on the capital needs of banks suggest that we are not very far into the process of dealing with the crisis, and lack of transparency in this respect is a major issue in Europe. The longer-run reform process too is not focusing on the ideal building blocks.     

The impact of data snooping on the testing of technical analysis: An empirical study of Asian stock markets

The primary aim of this study is to investigate the validity and predictability of technical analysis in eight Asian equity markets. We employ the bootstrap tests of White (2000) and Hansen (2005) to determine whether any superior trading rule is found to exist amongst the ‘universe’ of technical trading rules identified by Sullivan et al. (1999). We use these powerful bootstrap tests to ascertain the profitability of technical analysis, along with two institutional adjustments for non-synchronous trading and transaction costs. The empirical results indicate that these three elements, data snooping, non-synchronous trading and transaction costs, have significant impact on the overall performance of technical analysis; indeed, the results for these eight Asian stock markets support the efficient market hypothesis, demonstrating that the generation of economic profits through the use of technical analysis is extremely unlikely with these particular markets.     

金融危机下政府干预经济之经济法视野分析

金融危机下,各国经济出现全面下滑,政府积极采取措施干预经济,努力摆脱金融危机的笼罩。经济法是调整政府在干预本国经济活动中所形成的经济关系的法律规范的总称。政府干预经济应遵循经济法律规范的规定,依法干预本国经济。政府应从宏观和微观两个方面,主要运用财政、税收、金融和价格等间接手段干预经济。政府干预经济应控制在合理限度内,遵循社会公共利益原则、经济安全原则和适度干预原则,依据一定的标准实施干预。     

金融危机影响下日本对亚洲经济合作新战略

近几年在金融危机的影响下,日本一改往日脱亚入欧转向回归亚洲的经济合作新战略。对日本亚洲经济合作新战略的形成、基本思想、内容和基本目标进行剖析,具有重要的现实意义。在剖析日本对亚经济合作新战略基础上,对日本当前的具体经济战略进行分析,并分析其对当前中日关系的影响,研究发现日本的亚洲经济新战略并没有实质性改变其政治大国的目的。     

The utility of a common coinage: Currency unions and the integration of money markets in late Medieval Central Europe

This paper employs a new method and dataset to estimate the effect of currency unions on the integration of financial markets in late Medieval Central Europe. The analysis reveals that membership in a union was significantly correlated with well-integrated markets. We also examine whether currency unions were endogenous. Our results indicate that where unions were established, markets had been significantly better integrated already in the preceding period. In addition, we show that currency unions created by autonomous merchant towns were better integrated than unions implemented by territorial rulers. The overall implication is that monetary diversity was a corollary of weakly integrated markets in late Medieval Central Europe.     

金融危机下中、美股票指数联动作用的实证研究

在经历了全球金融危机之后,世界资本市场遭受重创。利用2008年全年数据对中美两国股票市场的联动效应进行实证分析,结果显示,金融危机导致美国纳斯达克市场的崩溃从而一定程度上间接地影响到我国的股票市场,但未存在长期共同趋势。     

Factors contributing to the financial crisis in Korea

Korea's economic development is a well documented fact. The globalization of the Korean economy brought with it a high rate of economic growth. The Korean economy began to experience a financial crisis from late 1997. This paper inquires into the causes that led to such a crisis. It shows that there were economic indicators foretelling the crisis. Among many factors causing the crisis, the current account deficit, the inadequate cash flows of corporations and the banks' weakening finances, and the small amount of international reserves, provided conditions for a successful speculative attack on the Korean won. The government guarantees led to over-investment and excessive borrowing. Thus, the self-fulfilling hypothesis of Flood and Garbers (1984) and Obstfeld (1986) and the hypothesis of Krugman (1998) explain the causes of the Korean crisis to a great extent. This paper addresses banks' performance and the weak financial condition of corporations and concludes that to get back on the path of stable economic growth, export diversification and productivity growth, together with a sound financial system, is necessary.     

Capital requirement and financial crisis: The case of Japan and the 1997 Asian crisis

This study investigates the direct link between the implementation of the 1988 Basel capital requirement in Japan and the shrinkage of banks’ foreign assets, particularly in Thailand in the 1990s. The empirical analysis proceeds in two stages. The first stage investigates the hypothesis that the capital crunch in Japan induced Japanese banks to alter their portfolios and reduce their foreign assets. The second step tests the hypothesis that the change in behaviour of the Japanese banks induced the increase of the probability of financial crisis in Asia. Our results support the responsibility of the Japanese capital requirement, among other factors, in triggering the 1997 Asian financial crisis as an external common shock and give a new angle on the financial crisis literature.     

Testing contagion of the 1997–98 crisis in Asian stock markets with structural breaks and incubation periods

This study tests for the existence of financial contagion, using a method that allows an incubation period before contagion takes effect. We define contagion as an increase in cross-market linkages following shocks. With daily data on Asian stock markets during the 1997–98 crisis, we find significant upward shifts in the linkages between the Asian markets of both crisis and non-crisis countries. The upward shifts are maintained even after controlling for heteroskedasticity and common world and regional factors, providing strong evidence for financial contagion.     

Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market

In the turmoil of 2007–2009, troubles in a small segment of the US mortgage market escalated into a crisis of global proportions. A striking feature of the crisis is the contagion that hit Asia. In a region where direct exposures to problem mortgages were minimal, credit spreads for major borrowers widened even more than they did in Europe and the United States. We argue that the contagion was part of an amplification mechanism driven by valuation losses caused by the bursting of a global credit bubble. The valuation losses stemmed not so much from a reassessment of credit risks as from a global repricing of these risks. It was this repricing that was the main channel for contagion into Asian credit (and equity) markets. For empirical evidence, we analyze fluctuations in credit default swap (CDS) spreads and expected default frequencies (EDFs) for major Asian borrowers. We find that valuation losses on CDS contracts for these Asian borrowers arose in part from movements in global and region-specific risk pricing factors as well as from revisions to expected losses from defaults.     

Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand

This paper analyzes empirically the recent Asian financial crisis by using high-frequency data of exchange rates and stock indices of the Philippines and Thailand. With time-series techniques, this study confirms that benchmark stock indices often fail to provide valuable insights into currency crises, but there is evidence that developments in some sectoral indices—including those of banking and financial sectors—seem to have caused upward pressure on exchange rates. Our evidence therefore confirms the importance of financial markets as a transmission channel during the currency crisis period.     

Operations of a Pension Fund after the Asian Crisis: The Thai Experience*

During and after the Asian crisis, institutional investors and pension funds in Asian financial markets have been confronted with a number of difficulties effecting their performance and the way they carry out their role within the national pension system. We analyze these problems by comparing the actual investment policy of an institutional investor with an optimal investment strategy derived from the insights of modern portfolio theory. We also analyze whether the organizational set‐up of a pension fund allows it to adequately perform its role within the pension system. As an example, we examine the operations of the Thai Government Pension Fund (GPF). We find that allowing international investments and reducing restrictions on equity investments while lowering the implicit requirements for investments in government debt would allow the GPF to further diversify its investment risk and to increase its risk‐adjusted return. We also show that some changes in the governance structure of the GPF would lower the occurrence of conflicts of interest for the management and increase the efficiency of the GPF operations.     

后金融危机时代我国能源法的使命

本文从后金融危机时代我国能源发展所面临的问题入手,探讨我国能源法的使命,认为在新的背景下其使命是维护能源安全和能源使用公平。因此,须通过完善我国能源法制建设,推动经济增长方式转变,实现能源利用的可持续发展。     

The strategies adopted by Taiwan in response to the global financial crisis, and Taiwan's role in Asia-Pacific economic integration

The global financial crisis that began in 2008 exposed weaknesses in Taiwan's industrial structure and in the structure of its foreign trade; it also pointed out the importance of industrial upgrading and transformation if Taiwan is to remain economically competitive. The aim of this paper is to explore the strategies that Taiwan has adopted in response to the global economic crisis, and the medium- and long-term strategies that Taiwan will need to adopt in the face of the trend towards economic integration in the Asia-Pacific region.     

日本金融改革的性质及其效果分析

日本金融业在战后日本经济发展过程中发挥了举足轻重的作用。无论是战后经济高速发展的奇迹,还是失去的15年的磨难,日本金融体制均扮演了主要角色。分析战后日本历次金融改革,结果表明,第一,美国主导的战后金融改革尽管发生了目标与结果的背离,但是其"吸收"、"改良"与"创建"的制度建设过程体现了改革的主导思想。第二,金融"大爆炸"是对日本战后30年金融体制的本质变革,然而,安全第一惯性思维下的错失良机,决定了这场改革依然无法摆脱高成本和不彻底的命运。第三,"金融再生"改革强化监管与治理的重拳出击对根治银行坏账的决定性效果值得肯定。但是,政府注资不能与市场优胜劣汰制度建设相结合的局限性,使得改革最终未能实现挽救经济困局的使命。     

安徽省参与泛长三角区域发展分工中的金融战略分析

加入长三角区域,参与泛长三角区域发展分工,是安徽省发展的良好机遇,不仅能够促进安徽省经济快速发展,也会促进安徽省金融的迅速壮大。在加速融入长三角的过程中,安徽省应当合理制定参与泛长三角区域发展分工的经济战略步伐。于此同时,紧紧围绕经济发展这个中心,拟定安徽省融入长三角的金融战略。本文通过对安徽省的金融战略目标的定位,分析安徽省金融发展过程中应注意的问题和采取的策略。     

The long-term impact of mergers and the emergence of a merger wave in pre-World-War I Germany

Using annual data on mergers for 35 leading German companies from 1870 to 1913, my study tries to explain the first merger wave that emerged 1898. My panel probit model that accounted for economies of scale, macroeconomic conditions, success of former mergers, and market structure revealed that previous mergers made subsequent mergers more likely. The propensity to merge was higher for larger companies that increased their market power. In the banking industry, managers imitated mergers, although these mergers were not successful, and hence followed the minimax regret principle. Rational information-based herding caused the serial dependency of mergers in other industries.     

The limited role of small stock exchanges in economic development: A case study of Mozambique and Swaziland

The establishment of a successful stock market in a developing economy can provide a major source of development finance, both channelling domestic savings and attracting foreign investment. But small markets generally fail. Two micro-markets, Mozambique and Swaziland, provide an interesting case study to examine the features of new markets in sub-Saharan Africa that differ in a number of ways, including colonial legacy, membership of the Common Monetary Area and the dynamics of the political economy that defines the links between the citizens, the local elite and the state. In both countries, the operational aspects of the stock exchange are clearly inadequate as a means of promoting international investment. Thus, gains from regional integration initiatives or foreign investment are unlikely, as the market's small size and incomplete institutions currently offer limited potential for either domestic or international risk diversification. However, the political economy in both countries is the real barrier to growth.