High Frequency Contagion of Currency Crises in Asia
Takatoshi Ito () and
No 9376, NBER Working Papers from National Bureau of Economic Research, Inc
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
Note: IFM ITI
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Published as Ito, Takatoshi and Yuko Hashimoto. "High-Frequency Contagion Of Currency Crises In Asia," Asian Economic Journal, 2005, v19(4,Dec), 357-381.
Downloads: (external link)
Journal Article: High‐Frequency Contagion of Currency Crises in Asia (2005)
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:nbr:nberwo:9376
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().