Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia
Gerard Kuper () and
No 200602, CCSO Working Papers from University of Groningen, CCSO Centre for Economic Research
This paper examines the dynamic linkages among financial markets in Thailand and Indonesia. In particular, we focus on the cross-border relationship in individual markets and on the relationship between finan- cial markets within each country. We find that while tight monetary policy pursued by Thailand authorities helped to defend the exchange rate at the outbreak of the financial crisis, it had little consequences for Indonesia at the end of 1998. The correlations between countries within each of the financial market reveals a certain degree of interde- pendence among countries, which is lower during crises.
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Journal Article: Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:gro:rugccs:200602
Access Statistics for this paper
More papers in CCSO Working Papers from University of Groningen, CCSO Centre for Economic Research Contact information at EDIRC.
Series data maintained by Hanneke Tamling ().