Institutional Investors, Trade Linkage, Macroeconomic Similarities, and Contagion of the Thai Crisis

Journal of the Japanese and International Economies

Volumn 15, Issue 2, 2001, Pages 199-224

  Chul Park, Yung ^a   Song, Chi Young ^b  

^a Korea University   (South Korea)

^b Kookmin University   (South Korea)

Author keywords

Contagion effects; Crisis; Financial integration; International institutional investors; Macroeconomic similarities; Trade linkage

Indexed keywords

EID: 0042835659     PISSN: 08891583     EISSN: None     Source Type: Journal    
DOI: 10.1006/jjie.2000.0464     Document Type: Article

References (41)

1. Anderson T. W. An Introduction to Multivariate Statistical Analysis. 1958;Wiley, New York.
2. Arias, E, Hausmann, R, and, Rigobon, R. 1998, Contagion on Bond Markets: Preliminary Notes, mimeo, MIT.
3. Baig T., Goldfajn I. Financial market contagion in the Asian crisis. IMF Staff Pap. 46:1999;167-195.
4. Bekaert G., Harvey C. Time-varying world market integration. J. Finance. 50:1995;403-444.
5. Bhattacharya, A, Cläessens, S, Ghosh, S, Hernandez, L, and, Alba, P. 1998, Volatility and Contagion in a Financially-Integrated World: Lessons from East Asia's Recent Experience, World Bank Policy Research Working Paper 2008.
6. Calvo, G. 1998, Contagion in Emerging Markets: When Wall Street is a Carrier, mimeo (Technical Supplement to "Understanding the Russian Virus"), University of Maryland.
7. Calvo, G, and, Mendoza, E. 1998, Rational Herd Behaviour and the Globalization of Securities Market, mimeo, University of Maryland.
8. Calvo S., Reinhart C. Capital flows to Latin America: Is there evidence of contagion effects? Calvo G. A., Goldstein M., Hochreiter E. Private Capital Flows to Emerging Markets After the Mexican Crisis. 1996;151-171 Institute for International Economics, Washington.
9. Cheng Y., Mak S. The international transmission of stock market fluctuation between the developed markets and the Asian-Pacific markets. Appl. Finan. Econ. 41:1992;43-47.
10. Corsetti, G, Pesenti, P, Roubini, N, and, Tille, C. 1998, Competitive Devaluation: a Welfare-Based Approach, mimeo, New York University.
11. Edwards, S. 1998, Interest Rate Volatility, Capital Controls and Contagion, NBER Working Paper 6756.
12. Eichengreen, B, Rose, A, and, Wyplosz, C. 1996, Contagious Currency Crisis, NBER Working Paper 5681.
13. Forbes, K, and, Rigobon, R. 1998, No Contagion, Only Interdependence: Measuring Stock Market Comovement, mimeo, MIT.
14. Frankel, J. A, and, Schmukler, S. 1996, Crisis, Contagion, and Country Funds: Effect on East Asia and Latin America, Pacific Basin Working Paper Series PB98-04, Federal Reserve Bank of San Francisco.
15. Ganapolsky, E, and, Schmukler, S. 1998, Crisis Management in Capital Markets: the Impact of Argentine Policy during the Tequila Effect, World Bank Policy Research Working Paper, 1951.
16. Gerlach S., Smets F. Contagious speculative attack. Europ. J. Polit. Econ. 11:1995;5-63.
17. Glick R, Hutchinson M. Financial liberalization in the Pacific Basin: Implication for real interest rate linkage. J. Japan. Int. Econ. 4:1990;36-48.
18. Glick, R, and, Rose, A. 1998, Contagion and Trade: Why are Currency Crises Regional?, NBER Working Paper 6806.
19. Goldstein, M. 1998, The Asian Financial Crisis, International Economics Policy Briefs 98-1, Institute for International Economics.
20. Huh, C, and, Casa, K. 1997, A Dynamic Model of Export Competition, Policy Coordination, and Simultaneous Currency Collapse, Pacific Basin Working Paper Series PB97-08, Federal Reserve Bank of San Francisco.
21. International Capital Markets: Development, Prospects, and Key Policy. 1998;International Monetary Fund, Washington.
22. Johansen S. Statistical analysis of cointegration vectors. J. Econ. Dynam. Control. 12:1988;231-254.
23. Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica. 59:1991;1551-1580.
24. Kaminsky, G, and, Reinhart, C. 1998, On Crises, Contagion and Confusion, mimeo, George Washington University and University of Maryland.
25. Kaminsky G., Schmukler S. What triggers market jitters? A chronicle of Asian crisis. J. Int. Money. Finance. 19:1999;537-560.
26. Kawai M. Asian Financial Markets. 1996;Quick Research Institute Corp. Tokyo.
27. Kodres, L, and, Pritsker, M. 1998, A Rational Expectations Model of Financial Contagion, mimeo, Board of Governors of the Federal Reserve System.
28. Kuen T. Y., Song T. K. Interest rate parity and dynamic capital mobility: The experience of Singapore. Ito T., Krueger A. Financial Deregulation and Integration in East Asia. 1996;335-354 University of Chicago Press, Chicago.
29. MacKinnon J. Critical values for cointegration tests. Engle R. F., Granger C. W. J. Long-run Economic Relationships: Readings in Cointegration. 1991;267-276 Oxford University Press, London.
30. MacKinnon J. Approximate asymptotic distribution functions for unit root and cointegration tests. J. Bus. Econ. Statist. 12:1994;449-459.
31. Masson, P. 1998, Contagion: Monsoonal Effects, Spillover, and Jumps Between Multiple Equilibria, IMF Working Paper 98-142, International Monetary Fund, Washington, DC.
32. Montes M. The Currency Crisis in Southeast Asia. 1998;Institute of Southeast Asia.
33. Park, Y. C, and, Song, C.-Y. 1998, East Asian Financial Crisis: One Year Later, Working Paper 98-1, Korea Institute of Finance.
34. Park Y. C., Song C.-Y. Financial contagion in East Asian crisis: With special reference to the Republic of Korea. Cläessens S., Forbes K. International Financial Contagion. 2001;Kluwer Academic, Boston.
35. Pritsker, M. 1999, The Channels for Financial Contagion, mimeo, Board of Governors of Federal Reserve System.
36. Radelet, S, and, Sachs, J. 1998a, The Onset of the East Asian Currency Crisis, mimeo, Harvard Institute of International Development.
37. Radelet S., Sachs J. The East Asian Financial Crisis: Diagnosis, remedies, prospects. Brookings Pap. Econ. Act. 1998:1:1998b;1-74.
38. Ruffer, R. 1997, System Financial Vulnerability and Banks' Incentives for Herding, mimeo, Deutsch Bundesbank.
39. Singh K. The Globalization of Finance. 1998;Zed Book, London.
40. Valdes, R. 1997, Emerging Markets Contagion: Evidence and Theory, mimeo, Bank of Chile.
41. Yoo J. S., Kim M. J. Contagion and reverse contagion: The case of the Korean financial crisis. J. Econ. Res. 3:1998;21-40.