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Currency Crisis and Contagion - Evidence from Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand
By:Jun Nagayasu
Published on 2000-02-01 by International Monetary Fund

This paper analyzes empirically the recent Asian financial crisis using high frequency data of exchange rates and stock indices of the Philippines and Thailand. Utilizing standard time-series techniques, this study confirms that there is evidence that developments in some sectoral indices—including those of banking and financial sectors—seem to have caused upward pressure on exchange rates. A correlation between some of these variables is also found to be strong across countries in the crisis period, thereby confirming the importance of the linkages between financial markets as a transmission channel of the Thai crisis to the Philippines.

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