Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia

Journal of Asian Economics

Volumn 18, Issue 4, 2007, Pages 670-684

  Kuper, Gerard H ^a   Lestano, ^b  

^a UNIVERSITY OF GRONINGEN   (Netherlands)

^b ATMA JAYA CATHOLIC UNIVERSITY OF INDONESIA   (Indonesia)

Author keywords

Currency crises; Dynamic conditional correlation; Interdependence

Indexed keywords

EID: 34249733774     PISSN: 10490078     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.asieco.2007.03.007     Document Type: Article

References (42)

1. Aghion P., Bacchetta P., and Banerjee A. Currency crises and monetary policy in an economy with credit constraints. European Economic Review 45 7 (2001) 1121-1150
2. Alexander C. Principal component models for generating large GARCH covariance matrices. Economic Notes 31 2 (2002) 337-359
3. Bautista C.C. Interest rate-exchange rate dynamics in the Philippines: A DCC analysis. Applied Economics Letters 10 2 (2003) 107-111
4. Bera A.K., and Higgins M.L. ARCH models: Properties, estimation and testing. Journal of Economic Surveys 7 4 (1993) 305-366
5. Bollerslev T. Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. Review of Economics and Statistics 72 3 (1990) 498-505
6. Bollerslev T., Chou R.Y., and Kroner K.F. ARCH modeling in finance: A review of the theory and empirical evidence. Journal of Econometrics 52 1-2 (1992) 5-59
7. Bollerslev T., Engle R.F., and Nelson D. ARCH models. In: Engle R., and McFadden D. (Eds). Handbook of econometrics (1994), North Holland, Amsterdam 2959-3038
8. Bollerslev T., Engle R.F., and Wooldridge J.M. A capital asset pricing model with time-varying covariances. Journal of Political Economy 96 1 (1988) 116-131
9. Chowdhry B., and Goyal A. Understanding the financial crisis in Asia. Pacific-Basin Finance Journal 8 2 (2000) 135-152
10. Corsetti G., Pesenti P., and Roubini N. What caused the Asian currency and financial crisis?. Japan and the World Economy 11 3 (1999) 305-373
11. Dornbusch R., and Fischer S. Exchange rates and the current account. American Economic Review 70 5 (1980) 960-971
12. Dungey M., Fry R., González-Hermosilo B., and Martin V.L. A comparison of alternative tests of contagion with applications. In: Dungey M., and Tambakis D.N. (Eds). Identifying international financial contagion: Progress and challenges (2005), Oxford University Press, New York 60-85
13. Eichengreen, B., 2001. Strengthening the international financial architecture: Open issues, Asian concerns. Prepared for the IMF/KIEP Conference on Recovery from the Asian Crisis, Seoul, 18-19 May 2001.
14. Engle R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 3 1 (1982) 987-1008
15. Engle R.F. Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics 20 2 (2002) 339-350
16. Engle R.F., and Kroner K. Multivariate simultaneous GARCH. Econometric Theory 11 1 (1995) 122-150
17. Engle R.F., Ng V.K., and Rothschild M. Asset pricing with a factor-ARCH covariance structure: Empirical estimates for treasury bills. Journal of Econometrics 45 1-2 (1990) 213-237
18. Engle, R. F., & Sheppard, K., 2001. Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH (NBER Working Paper 8554). Cambridge, MA: National Bureau of Economic Research.
19. Fane G. Post-crisis monetary and exchange rate policies in Indonesia, Malaysia, and Thailand. Bulletin of Indonesian Economic Studies 41 2 (2005) 175-195
20. Fane G., and McLeod R.H. Lessons for monetary and banking policies from the 1997-98 economic crises in Indonesia and Thailand. Journal of Asian Economics 10 3 (1999) 395-413
21. Fischer, S., 2001. A year of upheaval: The IMF was right on high interest rates and immediate restructuring. Asiaweek, July 17, 1998.
22. Franses P., and Van Dijk D. Non-linear time series models in empirical finance (2000), Cambridge University Press, UK
23. Furman J., and Stiglitz J.E. Economic crises: Evidence and insights from East Asia (with comments and discussion). Brookings Papers on Economic Activity 2 (1998) 1-135
24. Gavin M. The stock market and exchange rate dynamics. Journal of International Money and Finance 8 2 (1989) 181-200
25. Goldstein M. The Asian financial crisis: Causes, cures, and systemic implications (1998), Institute for International Economics, Washington, DC
26. Gourierroux C., and Jasiak J. Financial econometrics (2001), Princeton University Press, New Jersey
27. Hekman C.R. A financial model of foreign exchange exposure. Journal of International Business Studies 16 2 (1985) 83-99
28. International Monetary Fund. IMF World Economic Outlook. World Economic and Financial Surveys (1998), International Monetary Fund, Washington, DC
29. Koutmos G., and Martin A.D. Asymmetric exchange rate exposure: Theory and evidence. Journal of International Money and Finance 22 3 (2003) 365-383
30. Longin F., and Solnik B. Is the correlation in international equity returns constant: 1960-1990. Journal of International Money and Finance 14 1 (1995) 3-26
31. Markowitz H.M. Portfolio selection. Journal of Finance 7 1 (1952) 77-91
32. Martens M., and Poon S.H. Returns synchronization and daily correlation dynamics between international stock markets. Journal of Banking and Finance 25 10 (2001) 1805-1827
33. Masson P. Contagion: Monsoonal effects, spillovers, and jumps between multiple equilibria. In: Agénor P.R., Miller M., Vines D., and Weber A. (Eds). The Asian financial crisis: Causes, contagion and consequences (1999), Cambridge University Press, Cambridge, UK 265-283
34. Pagan A. The econometrics of financial markets. Journal of Empirical Finance 3 1 (1996) 15-102
35. Radelet S., and Sachs J.D. The East Asian financial crisis: Diagnosis, remedies, prospects (with comments and discussion). Brookings Papers on Economic Activity 1 (1998) 1-74
36. Sercu P., and Vanhulle C. Exchange rate volatility, international trade and the value of exporting firms. Journal of Banking and Finance 16 1 (1992) 155-182
37. Stiglitz J.E. Interest rates, risk, and imperfect markets: Puzzles and policies. Oxford Review of Economic Policy 15 2 (1999) 59-76
38. Tse Y. A test for constant correlations in a multivariate GARCH model. Journal of Econometrics 98 1 (2000) 107-127
39. Tse Y., and Tsui A. A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics 20 3 (2002) 351-362
40. White H. Estimation, Inference and Specification Analysis (1996), Cambridge University Press, UK
41. Yang S.Y. A DCC analysis of international stock market correlations: The role of Japan on the Asian four tigers. Applied Financial Economics Letters 1 2 (2005) 89-93
42. Zapatero F. Equilibrium asset prices and exchange rates. Journal of Economic Dynamics and Control 19 4 (1995) 787-811