Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand |
| |
Authors: | Jun Nagayasu |
| |
Institution: | a International Monetary Fund, 700 19th Street NW, Washington DC 20431, USA |
| |
Abstract: | 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. |
| |
Keywords: | Asian financial crisis contagion |
本文献已被 ScienceDirect 等数据库收录! |