Discriminating Contagion: An Alternative Explanation of Contagious Currency Crises in Emerging Markets

Ahluwalia, Pavan

doi:10.2139/ssrn.879340

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2003

2009

Publication Types

Select...

Article3

Book1

Relationship

Self Cite0

Independent4

Authors

Journals

Cited by 4 publications

References 9 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

On currency crises and contagion

Fratzscher¹

2003

Int. J Fin Econ

104

View full text Add to dashboard Cite

This paper analyzes the role of contagion in the currency crises in emerging markets during the 1990s. It employs a non-linear Markov-switching model to conduct a systematic comparison and evaluation of three distinct causes of currency crises: contagion, weak economic fundamentals, and sunspots, i.e. unobservable shifts in agents' beliefs. Testing this model empirically through Markov-switching and panel data models reveals that contagion--a high degree of real integration and financial interdependence among countries--is

show abstract

On currency crises and contagion

Fratzscher¹

2003

Int. J Fin Econ

104

View full text Add to dashboard Cite

show abstract

Informational Contagion of Sudden Stops in a Global Games Framework

Vaugirard

2004

Open Economies Review

View full text Add to dashboard Cite

Quantitative Analysis Of Crisis: Crisis Identification And Causality

Ishihara¹

2005

Policy Research Working Papers

View full text Add to dashboard Cite

Studies use different conceptual and operational definitions of crises. The different crisis identifications can lead to inconsistent conclusions and policy formulation even if the same analytical framework is applied.Also, most studies focus on only a few types of crises. This narrow focus on crises may not capture the multidimensionality of crises. Seven crisis types are analyzed; namely, (i) liquidity type banking crises, (ii) solvency type banking crises, (iii) balance of payments crises, (iv) currency crises, (v) debt crises, (vi) growth rate crises and (vii) financial crises. Crisis data are collected from 15 emerging economies in 1980-2002 on a quarterly basis. The crisis identification exercise finds that multidimensionality in which different crisis types occur in short-periods is one of the most important characteristics of recent crises. Further, Granger causality tests in five Asian economies (Indonesia, the Republic of Korea, Malaysia, the Philippines and Thailand) find that currency crises tend to trigger other types of crises, and therefore exchange rate management is essential.

show abstract

Discriminating Contagion: An Alternative Explanation of Contagious Currency Crises in Emerging Markets

Cited by 4 publications

References 9 publications

On currency crises and contagion

On currency crises and contagion

Informational Contagion of Sudden Stops in a Global Games Framework

Quantitative Analysis Of Crisis: Crisis Identification And Causality

Contact Info

Product

Resources

About