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

This paper examines the dynamic linkages among financial markets in Thailand and Indonesia. In particular, we focus on the cross-border relationship in individual markets and on the relationship between finan- cial markets within each country. We find that while tight monetary policy pursued by Thailand authorities helped to defend the exchange rate at the outbreak of the financial crisis, it had little consequences for Indonesia at the end of 1998. The correlations between countries within each of the financial market reveals a certain degree of interde- pendence among countries, which is lower during crises.

A comparison of currency crisis dating methods: East Asia 1970-2002

Generally, a currency crisis is defined to occur if an index of currency pressure exceeds a threshold. This paper compares several currency crisis dating methods adopting different definitions of currency pressure indexes and ad-hoc and extreme value based thresholds. We illustrate the methods with data of six East Asian countries for the January 1970?December 2002 period, and evaluate the methods on the basis of the IMF chronology of the Asia crisis in 1997-1998.

Indicators of financial crises do work! : an early-warning system for six Asian countries

Indicators of financial crisis generally do not have a good track record. This paper presents an early warning system for six countries in Asia, in which indicators do work.We distinguish three types of financial crises, currency crises, banking crises and debt crises, and extract four groups of indicators from the literatureexternal, financial, domestic (real and public), and global indicatorsthat are likely to affect the probability of financial crises. The significance of the indicator groups is tested in a multivariate logit model on a panel of six Asian countries for the period 1970:01-2001:12. An additional feature is that we examine four different currency crisis dating definitions. A within-sample signal extraction experiment reveals that some currency crises dating schemes outperform others.

Indicators of financial crises do work! An early-warning system for six Asian countries

Indicators of financial crisis generally do not have a good track record. This paper presents an early warning system for six countries in Asia, in which indicators do work.We distinguish three types of financial crises, currency crises, banking crises and debt crises, and extract four groups of indicators from the literature—external, financial, domestic (real and public), and global indicators—that are likely to affect the probability of financial crises. The significance of the indicator groups is tested in a multivariate logit model on a panel of six Asian countries for the period 1970:01-2001:12. An additional feature is that we examine four different currency crisis dating definitions. A within-sample signal extraction experiment reveals that some currency crises dating schemes outperform others.financial crises, currency crises, banking crises, debt crises, early warning system, panel data, multivariate logit, factor analysis

Asymmetric Exchange Rate Exposure in Indonesian Industry Sectors

This paper investigates asymmetric exchange rate exposure on Indonesia industry’s stock returns in both (non)linear specifications and different setting in exchange rate regimes and sub-sample periods using the EGARCH model. The results reveal that negative exchange rate exposure dominates over positive exposure in the linear exposure setting, but there is no dominance sign in nonlinear exposure effect specification. The negative exchange rate exposure is more pronounced in the episodes of Asian and Global financial crisis and largely reduces in tranquility period. In relation to exchange rate arrangements, many industries experience statistically significant negative exposure to the US dollar with managed floating exchange rate regime than flexible regime

Indicators of financial crises do work! An early-warning system for six Asian countries

Indicators of financial crisis generally do not have a good track record. This paper presents an early warning system for six countries in Asia, in which indicators do work.We distinguish three types of financial crises, currency crises, banking crises and debt crises, and extract four groups of indicators from the literature—external, financial, domestic (real and public), and global indicators—that are likely to affect the probability of financial crises. The significance of the indicator groups is tested in a multivariate logit model on a panel of six Asian countries for the period 1970:01-2001:12. An additional feature is that we examine four different currency crisis dating definitions. A within-sample signal extraction experiment reveals that some currency crises dating schemes outperform others.financial crises, currency crises, banking crises, debt crises, early warning system, panel data, multivariate logit, factor analysis