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High frequency contagion of currency crises in Asia

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  • High frequency contagion of currency crises in Asia
  • Ito, Takatoshi; Hashimoto, Yuko
  • National Bureau of Economic Research


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Title High frequency contagion of currency crises in Asia
Similar Titles
Material Type Reports
Author(English)

Ito, Takatoshi; Hashimoto, Yuko

Publisher

Cambridge:National Bureau of Economic Research

Date 2002-12
Series Title; No NBER Working Paper Series / 9376
Pages 60
Subject Country Asia & Pacific(Asia and Pacific)
South Korea(Asia and Pacific)
Language English
File Type Link
Original Format pdf
Subject Economy < Macroeconomics
Holding National Bureau of Economic Research

Abstract

Using daily data during the period of Asian Currency Crises, this paper examines high-frequency contagion effects among Asian six countries. By identifying the origin' (of exchange rate depreciation, or decline in stock prices) and the affected' (currencies, or stock prices) in spillover relationship, Indonesia and Korea are found to be the two main origin countries, affecting exchange rates and stock prices of other countries. Evidence of high-frequency crisis spillover from Thailand to other countries was weak at best. A positive relationship between trade link indices and the contagion coefficients is found, implying that the bilateral trade linkage is an important factor for currency market participants to expect which currency should be affected within days of an original a shock in the exchange rate of a particular country.