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Nagayasu, Jun.

Currency Crisis and Contagion Evidence From Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand / Jun Nagayasu. [electronic resource] : Jun Nagayasu. - Washington, D.C. : International Monetary Fund, 2000. - 1 online resource (26 p.) - IMF Working Papers; Working Paper ; No. 00/39 . - IMF Working Papers; Working Paper ; No. 00/39 .

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.

ISBN: 1451845820 : 15.00 USD

ISSN: 1018-5941

Standard No.: 10.5089/9781451845822.001 doi

Subjects--Topical Terms:
Asian Financial Crisis
Contagion
Currency Crises
Currency Crisis
Stock Index
Stock Indices

Subjects--Geographic Terms:
Philippines
Thailand