Currency Crisis and Contagion : Evidence From Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand /

This paper analyzes empirically the recent Asian financial crisis using high frequency data of exchange rates and stock indices of the Philippines and Thailand. Utilizing standard time-series techniques, this study confirms that there is evidence that developments in some sectoral indices-including...

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Bibliographic Details
Main Author: Nagayasu, Jun
Format: Journal
Language:English
Published: Washington, D.C. : International Monetary Fund, 2000.
Series:IMF Working Papers; Working Paper ; No. 2000/039
Online Access:Full text available on IMF
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520 3 |a This paper analyzes empirically the recent Asian financial crisis using high frequency data of exchange rates and stock indices of the Philippines and Thailand. Utilizing standard time-series techniques, this study confirms that there is evidence that developments in some sectoral indices-including those of banking and financial sectors-seem to have caused upward pressure on exchange rates. A correlation between some of these variables is also found to be strong across countries in the crisis period, thereby confirming the importance of the linkages between financial markets as a transmission channel of the Thai crisis to the Philippines. 
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