CIRJE-J-124 | wƒAƒWƒA’ʉÝEŠ”‰¿‚Ì“`”d‚ƘA“®«‚ÉŠÖ‚·‚镪Íx
"High-frequency Contagion between the Exchange Rates and Stock Prices during the Asian Currency Crisis" |
Author Name | ˆÉ“¡—²•q(Takatoshi Ito) ‹´–{—DŽqiYuko Hashimotoj |
Date | February 2005 |
Full Paper | PDF file (only Japanese version available) |
Remarks | @•Ÿ“c TˆêE¬ì ‰pŽ¡•ÒAw‘Û‹à—ZƒVƒXƒeƒ€‚̧“xÝŒvxA“Œ‹ž‘åŠwo”ʼnïA2006”N2ŒŽApp.175-200 ŠŽûB |
Abstract (Japanese) | Abstract (English) |
|
This paper analyzes the co-movement of the exchange rates and the stock prices from the
viewpoint of contagion among the eight countries in the region during the period of Asian currency
crisis, 1997-1999. Ito and Hashimoto (2002; NBER working paper) proposed a new definition of
high-frequency contagion, impacts from the crisis origin country to another country, using daily
exchange rate data. |