Currency Crisis and Contagion: Evidence From Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand

Author/Editor:

Jun Nagayasu

Publication Date:

February 1, 2000

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

This paper analyzes empirically the recent Asian financial crisis using high frequency data of exchange rates and stock indices of the Philippines and Thailand. Utilizing standard time-series techniques, this study confirms that there is evidence that developments in some sectoral indices—including those of banking and financial sectors—seem to have caused upward pressure on exchange rates. A correlation between some of these variables is also found to be strong across countries in the crisis period, thereby confirming the importance of the linkages between financial markets as a transmission channel of the Thai crisis to the Philippines.

Series:

Working Paper No. 2000/039

Subject:

Asset prices Currency crises Exchange rate indexes Exchange rates Financial crises Financial institutions Foreign exchange Prices Stocks

English

Publication Date:

February 1, 2000

ISBN/ISSN:

9781451845822/1018-5941

Stock No:

WPIEA0392000

Pages:

26

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