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High Frequency Contagion of Currency Crises in Asia

Takatoshi Ito () and Yuko Hashimoto

No 9376, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: F31 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-ifn
Date: 2002-12
Note: IFM ITI
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Published as Ito, Takatoshi and Yuko Hashimoto. "High-Frequency Contagion Of Currency Crises In Asia," Asian Economic Journal, 2005, v19(4,Dec), 357-381.

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