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A cospectral analysis of exchange rate comovements during Asian financial crisis |
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| Authors: | Alexei G Orlov |
| Institution: | 1. Montpellier Business School, Montpellier Research in Management, 12 rue Bayard, Montpellier 34000, France;2. Université Côte d''Azur, GRM, France;1. College of Business, Purdue University North Central, Westville, IN 46391-9528, USA;2. Division of Engineering, Business and Computing, Pennsylvania State University Berks Campus, Reading, PA 19610, USA;3. Department of Economics, Indiana University of Pennsylvania, Indiana, PA 15705, USA;1. College of Business, Zayed University, Dubai 19282, United Arab Emirates;2. College of Business, Zayed University, United Arab Emirates. |
| Abstract: | 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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