The Response of Financial Markets in Australia and New Zealand to News about the Asian Crisis

Luci Ellis and Eleanor Lewis
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Eleanor Lewis: Reserve Bank of Australia

RBA Research Discussion Papers from Reserve Bank of Australia

Abstract: In this paper, we investigate the spillover of the financial-market volatility arising from the East-asian crisis on financial markets in Australia and New Zealand. We do this by examining the impact of the major ‘news’ from Asia on the stock, bond and foreign exchange markets of the two countries. We find that news – both positive and negative – about developments in the crisis economies in Asia clearly had repercussions for financial markets in Australia and New Zealand. But this increased volatility should be kept in perspective: US-market and own-market developments generally had much greater influence on prices and volatility than the shocks originating in the Asian crisis economies. Importantly, the financial-market price reactions were very similar in Australia and New Zealand, despite the different monetary policy responses in the two countries. The notable differences in responses occurred between asset classes, not between the two countries.

Keywords: Asian financial crisis; Australia; New Zealand; spillover; volatility (search for similar items in EconPapers)
JEL-codes: E44 G15 (search for similar items in EconPapers)
Date: 2001-07
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:rba:rbardp:rdp2001-03

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