Working Paper: NBER ID: w9376
Authors: Takatoshi Ito; Yuko Hashimoto
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.
Keywords: No keywords provided
JEL Codes: F31; G12; G15
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Indonesia (F00) | Affected Countries (O57) |
| Korea (L22) | Affected Countries (O57) |
| Trade Link Indices (C43) | Contagion Coefficients (C10) |
| Initial Crisis Country (H12) | Other Countries (F29) |
| Thailand (Z38) | Affected Countries (O57) |