Contagion and the Asian Currency Crisis

Renato E. Reside and Maria Socorro Gochoco‐Bautista
Authors registered in the RePEc Author Service: Maria Socorro Gochoco-Bautista

Manchester School, 1999, vol. 67, issue 5, 460-474

Abstract: This study attempts to examine relationships among exchange rates in the Asian region using cointegration methods and to isolate country‐specific effects of contagion using an error correction model. Monthly data covering the period from July 1992 to December 1997 are used. Dynamic simulations of exchange rates with and without short‐run effects of exchange rate shocks are performed. The results indicate that stable long‐run relationships exist among exchange rates in the region. Simulation results for some countries indicate that these countries’ exchange rates would have depreciated in the long run even in the absence of the short‐run effects of potential contagion from other countries, while for other countries the opposite is true.

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/1467-9957.00169

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:manchs:v:67:y:1999:i:5:p:460-474

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1463-6786

Access Statistics for this article

Manchester School is currently edited by Keith Blackburn

More articles in Manchester School from University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().