全球智库信息集成服务系统(G2TT): High Frequency Contagion of Currency Crises in Asia

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w9376
来源ID	Working Paper 9376
	High Frequency Contagion of Currency Crises in Asia
	Takatoshi Ito; Yuko Hashimoto
发表日期	2002-12-09
出版年	2002
语种	英语
摘要	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.
主题	International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w9376
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/566995
推荐引用方式 GB/T 7714	Takatoshi Ito,Yuko Hashimoto. High Frequency Contagion of Currency Crises in Asia. 2002.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w9376.pdf（450KB）	智库出版物		限制开放	CC BY-NC-SA	浏览