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Currency market contagion in the Asia-Pacific region

McKibbin-Fry, Renee Anne; Dungey, Mardi; Martin, Vance L.


During the East Asian currency crisis of 1997–98 the potential transmission of the crisis to developed markets such as Japan, Australia and New Zealand, was of considerable policy concern. Potential channels consist of anticipated movements stemming from common factors, spillovers and contagion. The empirical results show that the transmission of volatility in the East-Asian currency markets to the developed markets in the region is not due to contagion, but rather attributed to common...[Show more]

CollectionsANU Research Publications
Date published: 2014-05-15
Type: Journal article
Source: Australian Economic Papers 43.3 (2004): 379_395
DOI: 10.1111/j.1467-8454.2004.00238.x


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