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| Author: | Baig, T. Goldfajn, I. |
| Title: | Financial market contagion in the Asian crisis |
| Journal: | Staff Papers
1999 : JUN, VOL. 46:2, p. 167-195 |
| Index terms: | Currency Devaluation Crises Financial markets Asia Models |
| Language: | eng |
| Abstract: | This paper tests for evidence of contagion btw. the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. It is found that correlations in currency and sovereign spreads increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. |
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