Currency crisis and contagion: Evidence from exchange rates and sectoral stock indices of the Philippines and Thailand

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Abstract

This paper analyzes empirically the recent Asian financial crisis by using high-frequency data of exchange rates and stock indices of the Philippines and Thailand. With time-series techniques, this study confirms that benchmark stock indices often fail to provide valuable insights into currency crises, but 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. Our evidence therefore confirms the importance of financial markets as a transmission channel during the currency crisis period.

Original languageEnglish
Pages (from-to)529-546
Number of pages18
JournalJournal of Asian Economics
Volume12
Issue number4
DOIs
Publication statusPublished - 2001 Dec

Keywords

  • Asian financial crisis
  • Contagion

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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