Financial market contagion in the Asian crisis

被引：0

作者：

Baig, T ^{[1
]}

Goldfajn, I

机构：

[1] Int Monetary Fund, Euopean Dept 2, Washington, DC 20431 USA

[2] Int Monetary Fund, Asia & Pacific Dept, Washington, DC 20431 USA

来源：

INTERNATIONAL MONETARY FUND STAFF PAPERS | 1999年 / 46卷 / 02期

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D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. We find that correlations in currency and sovereign spreads increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. We construct a set of dummy variables using daily news to capture the impact of own-country and cross-border news on the markets. We show that after controlling for own-country news and other fundamentals, there is evidence of cross-border contagion in the currency and equity markets. [JEL F30, F40, G15].

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页码：167 / 195

页数：29

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