Arbeitspapier
Financial market contagion in the Asian crisis
This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.
- Sprache
-
Englisch
- Erschienen in
-
Series: Texto para discussão ; No. 400
- Klassifikation
-
Wirtschaft
International Finance: General
Macroeconomic Aspects of International Trade and Finance: General
International Financial Markets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Goldfajn, Ilan
Baig, Taimur
- Ereignis
-
Veröffentlichung
- (wer)
-
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
- (wo)
-
Rio de Janeiro
- (wann)
-
1999
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Goldfajn, Ilan
- Baig, Taimur
- Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
Entstanden
- 1999
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