The authors are grateful for helpful comments from Munehisa Kasuya, Eiji Ogawa, Shin-ichi Fukuda, Jing-Lung Henry Lin, three anonymous referees, and the participants at the 9th International Convention of the East Asian Economic Association, the 4th International Conference on Asian Crisis, the annual meeting of the Japanese Economic Association, the Tokei Kenkyu-kai Conference, and seminars at Keio University, the Institute of Economic Research at Hitotsubashi University, and the Institute for Monetary and Economic Studies at the Bank of Japan. Ito gratefully acknowledges financial support from the Japan Society for the Promotion of Science, Grants-in-aid, Basic Research (A-2-15203008). Hashimoto gratefully acknowledges financial supports from the Japan Society for the Promotion of Science, Grants-in-aid for Young Scientists (B17730211) and from the Japan Economic Research Foundation.
High-Frequency Contagion of Currency Crises in Asia*
Article first published online: 12 DEC 2005
Asian Economic Journal
Volume 19, Issue 4, pages 357–381, December 2005
How to Cite
Ito, T. and Hashimoto, Y. (2005), High-Frequency Contagion of Currency Crises in Asia. Asian Economic Journal, 19: 357–381. doi: 10.1111/j.1467-8381.2005.00217.x
- Issue published online: 12 DEC 2005
- Article first published online: 12 DEC 2005
- Asian currency crisis;
- trade linkage
Using daily data from the Asian currency crisis, the present paper examines high-frequency contagion effects among six Asian countries. The ‘origin’ (of exchange rate depreciation, or decline in stock prices) and the ‘affected’ (currencies, or stock prices) in the daily spillover relationship were defined and identified. Indonesia is found to be the main origin country, affecting exchange rates of other countries. Contrary to conventional wisdom, evidence of high-frequency crisis spillover from the Thai exchange rate to other currencies was weak at best. There exists a high-frequency contagion in stock markets among East Asian countries. Contagion coefficients are positively correlated with trade indices, indicating that investors lower their financial assessment of a country that has trade linkage to a crisis origin country within days, if not hours, of a shock.