메뉴 건너뛰기




Volumn 142, Issue 2, 2006, Pages 374-401

Foreign exchange market contagion in the Asian crisis: A regression-based approach

Author keywords

Asian crisis; Contagion; Exchange market pressure; Regression

Indexed keywords


EID: 33746890156     PISSN: 16102878     EISSN: 16102886     Source Type: Journal    
DOI: 10.1007/s10290-006-0072-x     Document Type: Article
Times cited : (26)

References (30)
  • 1
    • 0001764281 scopus 로고    scopus 로고
    • Financial market contagion in the asian crisis
    • Baig, T., and I. Goldfajn (1999). Financial Market Contagion in the Asian Crisis. IMF Staff Papers 46 (2): 167-195.
    • (1999) IMF Staff Papers , vol.46 , Issue.2 , pp. 167-195
    • Baig, T.1    Goldfajn, I.2
  • 3
    • 0002428258 scopus 로고    scopus 로고
    • Capital flows in Latin America: Is there evidence of contagion effects?
    • G. Calvo, M. Goldstein, and E. Hochreiter (eds.), Washington, D.C.: Institute for International Economics
    • Calvo, S., and C. Reinhart (1996). Capital Flows in Latin America: Is There Evidence of Contagion Effects? In G. Calvo, M. Goldstein, and E. Hochreiter (eds.), Private Capital Flows to Emerging Markets after the Mexican Crisis, Washington, D.C.: Institute for International Economics.
    • (1996) Private Capital Flows to Emerging Markets after the Mexican Crisis
    • Calvo, S.1    Reinhart, C.2
  • 4
    • 4243954777 scopus 로고
    • Cointegration of international stock market indices
    • International Monetary Fund, Washington, D.C.
    • Chou, R., V. Ng, and L. Pi (1994). Cointegration of International Stock Market Indices. IMF Working Paper 94/94. International Monetary Fund, Washington, D.C.
    • (1994) IMF Working Paper , vol.94 , Issue.94
    • Chou, R.1    Ng, V.2    Pi, L.3
  • 5
    • 0002562837 scopus 로고    scopus 로고
    • Contagion: Why crises spread and how this can be stopped
    • S. Claessens and K. Forbes (eds.), Boston: Kluwer Academic
    • Claessens, S., R. Dornbusch, and Y. Park (2001). Contagion: Why Crises Spread and How This Can Be Stopped. In S. Claessens and K. Forbes (eds.), International Financial Contagion. Boston: Kluwer Academic.
    • (2001) International Financial Contagion
    • Claessens, S.1    Dornbusch, R.2    Park, Y.3
  • 6
    • 27244442810 scopus 로고    scopus 로고
    • Some contagion, some interdependence: More pitfalls in tests of financial contagion
    • Center for Economic Policy and Research, Washington, D.C.
    • Corsetti, G., M. Pericoli, and M. Sbarcia (2002). Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion. CEPR Discussion Paper 3310. Center for Economic Policy and Research, Washington, D.C.
    • (2002) CEPR Discussion Paper , vol.3310
    • Corsetti, G.1    Pericoli, M.2    Sbarcia, M.3
  • 7
    • 0006627671 scopus 로고    scopus 로고
    • Crisis transmission: evidence from the debt, tequila and Asian flu crises
    • S. Claessens and K. Forbes (eds.), Boston: Kluwer Academic
    • De Gregorio, J., and R. Valdes (2001). Crisis Transmission: Evidence from the Debt, Tequila and Asian Flu Crises. In S. Claessens and K. Forbes (eds.), International Financial Contagion. Boston: Kluwer Academic.
    • (2001) International Financial Contagion
    • De Gregorio, J.1    Valdes, R.2
  • 8
    • 85007700284 scopus 로고    scopus 로고
    • A multifactor model of exchange rates with unanticipated shocks: Measuring contagion in the East Asian currency market
    • Dungey, M., and V. Martin (2004). A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Market. Journal of Emerging Markets Finance 3 (3): 305-330.
    • (2004) Journal of Emerging Markets Finance , vol.3 , Issue.3 , pp. 305-330
    • Dungey, M.1    Martin, V.2
  • 9
    • 0004191794 scopus 로고    scopus 로고
    • Interest Rates, contagion and capital controls
    • National Bureau of Economic Research, Cambridge, Mass
    • Edwards, S. (2000). Interest Rates, Contagion and Capital Controls. NBER Working Paper 7801. National Bureau of Economic Research, Cambridge, Mass.
    • (2000) NBER Working Paper , vol.7801
    • Edwards, S.1
  • 10
    • 0003359926 scopus 로고    scopus 로고
    • Contagious currency crises
    • National Bureau of Economic Research, Cambridge, Mass
    • Eichengreen, B., A. Rose, and C. Wyplosz (1996). Contagious Currency Crises. NBER Working Paper 5681. National Bureau of Economic Research, Cambridge, Mass.
    • (1996) NBER Working Paper , vol.5681
    • Eichengreen, B.1    Rose, A.2    Wyplosz, C.3
  • 11
    • 0006602371 scopus 로고    scopus 로고
    • Measuring contagion: Conceptual and empirical issues
    • S. Claessens and K. Forbes (eds.), Boston: Kluwer Academic
    • Forbes, K., and R. Rigobón (2001). Measuring Contagion: Conceptual and Empirical Issues. In S. Claessens and K. Forbes (eds.), International Financial Contagion. Boston: Kluwer Academic.
    • (2001) International Financial Contagion
    • Forbes, K.1    Rigobón, R.2
  • 12
    • 0003350474 scopus 로고    scopus 로고
    • No contagion, only interdependence: Measuring stock market co-movements
    • Forbes, K., and R. Rigobón (2002). No Contagion, Only Interdependence: Measuring Stock Market Co-Movements. Journal of Finance 57 (5): 2223-2261.
    • (2002) Journal of Finance , vol.57 , Issue.5 , pp. 2223-2261
    • Forbes, K.1    Rigobón, R.2
  • 13
    • 0003204944 scopus 로고    scopus 로고
    • Crisis, contagion, and country funds
    • R. Glick (ed.), Cambridge: Cambridge University Press
    • Frankel, J., and S. Schmukler (1998). Crisis, Contagion, and Country Funds. In R. Glick (ed.), Managing Capital Flows and Exchange Rates. Cambridge: Cambridge University Press.
    • (1998) Managing Capital Flows and Exchange Rates
    • Frankel, J.1    Schmukler, S.2
  • 14
    • 0011738568 scopus 로고    scopus 로고
    • Crisis management in Argentina during the 1994-95 Mexican crisis: How did markets react?
    • Ganapolsky, E., and S. Schmukler (2001). Crisis Management in Argentina during the 1994-95 Mexican Crisis: How Did Markets React? World Bank Economists' Forum 1: 3-30.
    • (2001) World Bank Economists' Forum , vol.1 , pp. 3-30
    • Ganapolsky, E.1    Schmukler, S.2
  • 15
    • 0035052053 scopus 로고    scopus 로고
    • Financial spillovers in transition economies
    • Gelos, R. G., and R. Sahay (2001). Financial Spillovers in Transition Economies. Economics of Transition 9 (1): 53-86.
    • (2001) Economics of Transition , vol.9 , Issue.1 , pp. 53-86
    • Gelos, R.G.1    Sahay, R.2
  • 16
    • 0001591341 scopus 로고
    • A monetary model of exchange market pressure applied to the post-war canadian experience
    • Girton, L., and D. Roper (1977). A Monetary Model of Exchange Market Pressure Applied to the Post-War Canadian Experience. American Economic Review 67 (4): 537-548.
    • (1977) American Economic Review , vol.67 , Issue.4 , pp. 537-548
    • Girton, L.1    Roper, D.2
  • 17
    • 0033173977 scopus 로고    scopus 로고
    • Contagion and trade: Why are currency crises regional?
    • Glick, R., and A. Rose (1999). Contagion and Trade: Why Are Currency Crises Regional? Journal of International Money and Finance 18 (4): 603-617.
    • (1999) Journal of International Money and Finance , vol.18 , Issue.4 , pp. 603-617
    • Glick, R.1    Rose, A.2
  • 18
    • 0004296209 scopus 로고    scopus 로고
    • Upper Saddle River: Prentice-Hall
    • Greene, W. (2003). Econometric Analysis. Upper Saddle River: Prentice-Hall.
    • (2003) Econometric Analysis
    • Greene, W.1
  • 19
    • 0001698432 scopus 로고
    • Correlations in price changes and volatility across international stock markets
    • Hamao, Y., R. Masulis, and V. Ng (1990). Correlations in Price Changes and Volatility across International Stock Markets. Review of Financial Studies 3 (2): 281-307.
    • (1990) Review of Financial Studies , vol.3 , Issue.2 , pp. 281-307
    • Hamao, Y.1    Masulis, R.2    Ng, V.3
  • 20
    • 3042763705 scopus 로고    scopus 로고
    • Currency and banking crises: The early warnings of distress
    • International Monetary Fund, Washington, D.C.
    • Kaminsky, G. (1999). Currency and Banking Crises: The Early Warnings of Distress. IMF Working Paper 99/178. International Monetary Fund, Washington, D.C.
    • (1999) IMF Working Paper , vol.99 , Issue.178
    • Kaminsky, G.1
  • 21
    • 0039624712 scopus 로고    scopus 로고
    • The twin crises: The causes of banking and balance-of-payments problems
    • Kaminsky, G., and C. Reinhart (1999). The Twin Crises: The Causes of Banking and Balance-of-Payments Problems. American Economic Review 89 (3): 473-500.
    • (1999) American Economic Review , vol.89 , Issue.3 , pp. 473-500
    • Kaminsky, G.1    Reinhart, C.2
  • 23
    • 0033176847 scopus 로고    scopus 로고
    • What triggers market jitters? A chronicle of the east Asian crisis
    • Kaminsky, G., and S. Schmukler (2002). What Triggers Market Jitters? A Chronicle of the East Asian Crisis. Journal of International Money and Finance 18 (4): 537-560.
    • (2002) Journal of International Money and Finance , vol.18 , Issue.4 , pp. 537-560
    • Kaminsky, G.1    Schmukler, S.2
  • 24
    • 0003151378 scopus 로고
    • Transmission of volatility between stock markets
    • King, M., and S. Wadhwani (1990). Transmission of Volatility between Stock Markets. Review of Financial Studies 3 (1): 5-33.
    • (1990) Review of Financial Studies , vol.3 , Issue.1 , pp. 5-33
    • King, M.1    Wadhwani, S.2
  • 27
    • 0001447776 scopus 로고
    • Econometric issues in the analysis of regressions with generated regressors
    • Pagan, A. (1984). Econometric Issues in the Analysis of Regressions with Generated Regressors. International Economic Review 25 (1): 221-247.
    • (1984) International Economic Review , vol.25 , Issue.1 , pp. 221-247
    • Pagan, A.1
  • 28
    • 0012333050 scopus 로고    scopus 로고
    • Financial contagion in the east asian crisis - With special reference to the Republic of Korea
    • S. Claessens and K. Forbes (eds.), Boston: Kluwer Academic
    • Park, Y., and C. Song (2001). Financial Contagion in the East Asian Crisis - With Special Reference to the Republic of Korea. In S. Claessens and K. Forbes (eds.), International Financial Contagion. Boston: Kluwer Academic.
    • (2001) International Financial Contagion
    • Park, Y.1    Song, C.2
  • 30
    • 0006872063 scopus 로고    scopus 로고
    • Emerging markets contagion: Evidence and theory
    • Bank of Chile, Santiago
    • Valdes, R. (1997). Emerging Markets Contagion: Evidence and Theory. Working Paper 07. Bank of Chile, Santiago.
    • (1997) Working Paper , vol.7
    • Valdes, R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.