소장기록
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.
생산자IMF
날짜1998-11-00
기록유형문서류
기록형태회의록/자료
주제IMF협상
식별번호KC-R-01079
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.
생산자IMF
날짜1998-11-00
크기 및 분량61쪽
언어영어
출처IMF
기록유형문서류
기록형태회의록/자료
대주제IMF협상
소주제후속조치
자원유형기록
파일 3c4270d95ce05e9d813ca457b41f18dc.pdf
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