TY  - JOUR
AU  - Ito,Takatoshi
AU  - Hashimoto,Yuko
TI  - High Frequency Contagion of Currency Crises in Asia
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9376
PY  - 2002
Y2  - December 2002
UR  - http://www.nber.org/papers/w9376
L1  - http://www.nber.org/papers/w9376.pdf
N1  - Author contact info:
Takatoshi Ito
Graduate School of Economics
University of Tokyo
7-3-1 Hongo, Bunkyo-ku
Tokyo 113-0033
JAPAN
Tel: 81-3-5841-5608
Fax: 81-3-5841-5521
E-Mail: tito@e.u-tokyo.ac.jp

Yuko Hashimoto
Statistics Department
International Monetary Fund
700 19th Street, NW
Washington D.C., 20431
E-Mail: yhashimoto@imf.org
AB  - Using daily data during the period of Asian Currency Crises, this paper examines high-frequency contagion effects among Asian six countries. By identifying the  origin' (of exchange rate depreciation, or decline in stock prices) and the  affected' (currencies, or stock prices) in spillover relationship, Indonesia and Korea are found to be the two main origin countries, affecting exchange rates and stock prices of other countries. Evidence of high-frequency crisis spillover from Thailand to other countries was weak at best.  A positive relationship between trade link indices and the contagion coefficients is found, implying that the bilateral trade linkage is an important factor for currency market participants to expect which currency should be affected within days of an original a shock in the exchange rate of a particular country.
ER  -