Currency crisis and contagion : evidence from exchange rates and sectoral stock indices of the Philippines and Thailand /

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Bibliographic Details
Author / Creator:Nagayasu, Jun, author.
Imprint:[Washington, D.C.] : International Monetary Fund, Monetary and Exchange Affairs Department, 2000.
Description:1 online resource (26 pages) : illustrations.
Series:IMF working paper ; WP/00/39
IMF working paper ; WP/00/39.
Subject:Financial crises -- Philippines -- Econometric models.
Financial crises -- Thailand -- Econometric models.
Foreign exchange rates -- Philippines -- Econometric models.
Foreign exchange rates -- Thailand -- Econometric models.
Stock price indexes -- Philippines -- Econometric models.
Stock price indexes -- Thailand -- Econometric models.
Contagion (Social psychology) -- Philippines -- Econometric models.
Contagion (Social psychology) -- Thailand -- Econometric models.
Causation -- Econometric models.
Crises financières -- Philippines -- Modèles économétriques.
Crises financières -- Thaïlande -- Modèles économétriques.
Taux de change -- Philippines -- Modèles économétriques.
Taux de change -- Thaïlande -- Modèles économétriques.
Indices boursiers -- Philippines -- Modèles économétriques.
Indices boursiers -- Thaïlande -- Modèles économétriques.
Contagion sociale -- Philippines -- Modèles économétriques.
Contagion sociale -- Thaïlande -- Modèles économétriques.
Causalité -- Modèles économétriques.
Financial crises -- Econometric models.
Foreign exchange rates -- Econometric models.
Stock price indexes -- Econometric models.
Electronic books.
Format: E-Resource Book
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Other authors / contributors:International Monetary Fund. Monetary and Exchange Affairs Department.
Notes:Includes bibliographical references (pages 13-15).
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Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010.
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Summary:This paper analyzes empirically the recent Asian financial crisis (1997-98) using the time-series data of exchange rates and stock indices of the Philippines and Thailand2 which were the first two countries confronted by massive movements in financial asset prices. Before the eruption of the currency crisis, Thailand had maintained its currency, the baht, linked to a basket of other currencies weighted heavily to the U.S. dollar. Meanwhile, Thailand's financial market came under continuous pressure in 1996, which continued with a series of speculative attacks beginning in early 1997. The Thai authorities attempted to defend the baht by increasing short-term interest rates and intervening heavily in the market, but despite their efforts, the currency was forced to float on July 2, 1997.3 Economic and financial turmoil in Thailand spread to neighboring countries including the Philippines, which is a relatively smaller economy with a solid financial market and economic fundamentals. 4 A massive devaluation of the Philippines' peso occurred on July 11, 1997, followed by the Malaysian ringgit on July 14, the Indonesian rupiah on August 14, and the South Korean won on December 16, 1997. A high probability of financial market crisis in Thailand was to some extent anticipated by the IMF (International Monetary Fund, 1998a); however, the size and the duration of the crisis and contagion seemed beyond anyone's expectations.
Other form:Print version: Nagayasu, Jun. Currency crisis and contagion. [Washington, D.C.] : International Monetary Fund, Monetary and Exchange Affairs Dept., ©2000
Standard no.:10.5089/9781451893168.001