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


포맷61쪽


언어영어


출처IMF


기록유형문서류


기록형태회의록/자료


대주제IMF협상


소주제후속조치


자원유형기록


파일 3c4270d95ce05e9d813ca457b41f18dc.pdf