Currency market contagion in the Asia-Pacific region

Abstract

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 world factors. Spillovers have a minor role in the case of Japan and to a lesser degree, Australia. Show more