Financial Market Contagion in the Asian Crisis

Author/Editor:

Taimur Baig ; Ilan Goldfajn

Publication Date:

November 1, 1998

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 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.

Series:

Working Paper No. 98/155

Subject:

English

Publication Date:

November 1, 1998

ISBN/ISSN:

9781451857283/1018-5941

Stock No:

WPIEA1551998

Price:

$15.00 (Academic Rate:$15.00)

Format:

Paper

Pages:

61

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