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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2006"

AuteursN. van Horen, H. Jager, F.J.G.M. Klaassen
TitelForeign Exchange Market Contagion in the Asian Crisis: A Regression-based Approach
TijdschriftReview of World Economics
Jaargang142
Jaar2006
Nummer2
Pagina's374-401
ISSN16102878
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
SamenvattingThis paper investigates whether, during the Asian crisis, contagion occurred from Thailand to the other crisis countries through the foreign exchange market, and, if so, determines the contribution of this contagion to the crisis. More specifically, we examine whether the effect of the exchange market pressure (EMP) of Thailand, the origin of the crisis, on the EMP of four Asian crisis countries increased during the crisis. Instead of measuring contagion by the commonly used correlation coefficients, we apply regression analysis. To control for the impact of macroeconomic fundamentals, we construct a time-varying indicator measuring the fragility of each economy. Additionally, we control for spillovers and common external shocks. We find evidence of contagion from Thailand to Indonesia and Malaysia, with 13 and 21 percent of the pressure on the respective currencies attributable to that contagion. For Korea and the Philippines there is no evidence of contagion from Thailand.
Keywords Contagion - exchange market pressure - Asian crisis - regression

JEL no. F30, F31, G15
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