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Foreign exchange markets in South-East Asia 1990-2004: An empirical analysis of spillovers during crisis and non-crisis periods

Mandilaras, A and Bird, G (2007) Foreign exchange markets in South-East Asia 1990-2004: An empirical analysis of spillovers during crisis and non-crisis periods North American Journal of Economics and Finance, 18 (1). 41 - 57. ISSN 1062-9408

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Abstract

The East Asian crisis of 1997 sparked an extensive literature in an effort to explain the causes and spread of heightened foreign exchange (FX) market pressures in the region. In this paper, we model FX movements and calculate spillover effects covering the extended period between 1990 and 2004. Using Markov switching vector autoregressions, we find evidence that FX correlations vary across crisis and non-crisis states, a result that bears implications for international portfolio diversification and reserve pooling. Even though the direction of effects does not follow discernible patterns, it is clear from the data that contagion effects are present. © 2006 Elsevier Inc. All rights reserved.

Item Type: Article
Divisions: Faculty of Business, Economics and Law > Economics
Depositing User: Mr Adam Field
Date Deposited: 27 May 2010 14:10
Last Modified: 09 Jun 2014 13:27
URI: http://epubs.surrey.ac.uk/id/eprint/574

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