External Shocks, Balance Sheet Contagion, and Speculative Attack on the Pegged Exchange Rate System

Ma, Yue

doi:10.1111/j.1467-9361.2008.00464.x

Cited by 5 publications

(2 citation statements)

References 43 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…When considering the new projects of monetary union, we cannot dissociate the question of ex‐ante conditions necessary for adopting a sustainable regional fixed exchange rate regime from those related to the origins and propagation of recent financial crises. These were responsible for the destabilization of entire economically integrated regions with the spread of the shock to the real sphere of the economy and the explosion of the countries' fixed or quasi‐fixed exchange rate regimes (Ma, 2009). It is important to integrate a positive dimension into the normative OCA theory with regard to the impact and propagation of recent international financial crises.…”

Section: Theoretical and Empirical Backgroundmentioning

confidence: 99%

The Vulnerability of ASEAN+3 Countries to International Financial Crises

Gimet

2011

Rev International Economics

View full text Add to dashboard Cite

This article focuses on the reaction of the Association of Southeast Asian Nations (ASEAN) economies to international financial shocks. The crises in emerging markets at the end of the last century underlined the significant vulnerability of the emerging ASEAN economies to international financial fluctuations and a lack of sustainability in their exchange rate regime. A structural VAR model is used to analyze the efficiency of the measures adopted by these countries after this episode of crisis in order to protect their economies against speculative attacks. The results reveal that the impact of the recent subprime crisis on emerging ASEAN countries is less significant than that observed in industrialized ones.* Gimet: ENS-GATE, 15 Parvis René Descartes BP 7000, 69342 Lyon cedex 07, France. Tel: +33 (0)4 37 37 62 82; Fax: +33 (0)4 37 37 60 24;

show abstract

Section: Theoretical and Empirical Backgroundmentioning

confidence: 99%

The Vulnerability of ASEAN+3 Countries to International Financial Crises

Gimet

2011

Rev International Economics

View full text Add to dashboard Cite

show abstract

“…(See, e.g. Yang and Lim, 2004;Ma, 2009. ) We contribute to the literature by introducing a semiparametric estimator for the VTD function in a more general framework.…”

Section: Introductionmentioning

confidence: 99%

Volatility Contagion in the Asian Crisis: New Evidence of Volatility Tail Dependence

Karmann

Herrera

2014

Review Development Economics

View full text Add to dashboard Cite

We analyze empirically the existence and the extent of financial contagion by means of extreme value theory in the Asian crisis. We consider two key markets, the stock exchange and the foreign exchange using daily data in the period 1992-2001. We present several notions of financial contagion as a significant change in volatility tail dependence (VTD) among different assets. To this end, we introduce a semiparametric VTD estimator in the framework of regularly varying strictly stationary time series. Our analysis provides mixed evidence with respect to the "interdependence vs contagion" dispute. Within-country contagion is more likely to hold than across-country contagion. Because the latter is typically symmetric, contagion in stocks and foreign exchange coincide, in line with "portfolio rebalancing" arguments. Across-market contagion supports the "wake up call" argument of loss of confidence, as small countries' currency markets affect contagiously the stock markets of the larger economies.

show abstract