Currency Crisis and Contagion: Evidence From Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand

Jun Nagayasu

No 2000/039, IMF Working Papers from International Monetary Fund

Abstract: This paper analyzes empirically the recent Asian financial crisis using high frequency data of exchange rates and stock indices of the Philippines and Thailand. Utilizing standard time-series techniques, this study confirms that 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. A correlation between some of these variables is also found to be strong across countries in the crisis period, thereby confirming the importance of the linkages between financial markets as a transmission channel of the Thai crisis to the Philippines.

Keywords: WP; Asian financial crisis; contagion; benchmark stock indices; sectoral indices; exchange rate movement; sectoral stock indices; stock indices of the trading sector; high frequency stock indices; stock indices of the Philippines; food sector index; Exchange rates; Stocks; Asset prices; Exchange rate indexes; Currency crises; Asia and Pacific; Global (search for similar items in EconPapers)
Pages: 26
Date: 2000-02-01
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Citations: View citations in EconPapers (9)

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Journal Article: Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand (2001)
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