제목WP 98.155 Financial Market Contagion in the Asian Crisis
설명This paper tests for evidence of contagion between the financial markets of Thailand,
Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies
and sovereign spreads are found to increase significantly during the crisis period, whereas the
equity market correlations offer mixed evidence. A set of dummy variables using daily news is
constructed to capture the impact of own-country and cross-border news on the markets.
After controlling for own-country news and other fundamentals, the paper shows evidence of
cross-border contagion in the currency and equity markets.