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Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand
16 references·7 citing·37 second hop
Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand (2001)Currency crisis and contagion: evidence f…Measuring Contagion: Conceptual and Empirical Issues (2001)Measuring Contagion: Conceptu…On crises, contagion, and confusion (2000)On crises, contagion, and con…A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)A bivariate causality between…What Triggers Market Jitters? A Chronicle of the Asian Crisis (1999)What Triggers Market Jitters?…What Happened to Asia (1999)What Happened to AsiaThe Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)The Twin Crises: The Causes o…Perspectives on the recent currency crisis literature (1999)Perspectives on the recent cu…Financial Market Contagion in the Asian Crisis (1999)Financial Market Contagion in…Financial Market Contagion in the Asian Crisis (1999)Financial Market Contagion in…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Contagion: Monsoonal Effects, Spillovers, and Jumps between Multiple Equilibria (1998)Contagion: Monsoonal Effects,…Credible Liberalizations and International Capital Flows: The "Overborrowing Syndrome" (1996)Credible Liberalizations and …Models of Currency Crises with Self-Fulfilling Features (1995)Models of Currency Crises wit…Collapsing exchange-rate regimes (1984)Collapsing exchange-rate regi…A Model of Balance-of-Payments Crises (1979)A Model of Balance-of-Payment…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Exchange rate volatility connectedness during Covid-19 outbreak: DECO-GARCH and Transfer Entropy approaches (2022)Exchange rate volatility conn…Revisiting the Dependence between Financial Markets with Copulas (2007)Revisiting the Dependence bet…Examination of the efficient market hypothesis—the case of post-crisis Asia Pacific countries (2007)Examination of the efficient …Do Thai stock prices deviate from fundamental values? 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(1993)International Financial Crises: Causes, Prevention, and Cures (2000)Understanding the Soft Budget Constraint (2003)Towards a new early warning system of financial crises (2006)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Empirical modelling of contagion: a review of methodologies (2005)Economic Reforms, FDI, and Economic Growth in India: A Sector Level Analysis (2008)Predicting Fluctuations in Cryptocurrency Transactions Based on User Comments and Replies (2016)A Positive Theory of Monetary Policy in a Natural Rate Model (1983)Multimarket Oligopoly: Strategic Substitutes and Complements (1985)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1996)Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)New Indexes of Coincident and Leading Economic Indicators (1989)The Determinants of Banking Crises in Developing and Developed Countries (1998)Does financial liberalization spur growth? (2005)Economic Freedom of the World: 2022 Annual Report (2022)Contagious Currency Crises (1996)Financial Crises in Emerging Markets: The Lessons from 1995 (1996)Contagion and Trade: Why Are Currency Crises Regional? (1998)Financial market integration in Europe: on the effects of EMU on stock markets (2002)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)The Mirage of Fixed Exchange Rates (1995)Economic Crises: Evidence and Insights from East Asia (1998)Currency crashes in emerging markets: An empirical treatment (1996)Leading Indicators of Currency Crises (1998)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)A Rational Expectations Model of Financial Contagion (2002)A New Approach to Measuring Financial Contagion (2003)Introduction: The International Diffusion of Liberalism (2006)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1999The Twin Crises: The Causes of Banking and Balance-of-Payments Problems4,990 cited
  • 1979A Model of Balance-of-Payments Crises2,927 cited
  • 2000On crises, contagion, and confusion1,270 cited
  • 1984Collapsing exchange-rate regimes1,190 cited
  • 1995Models of Currency Crises with Self-Fulfilling Features1,058 cited
  • 2000A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆785 cited
  • 1999What Happened to Asia781 cited
  • 1999Financial Market Contagion in the Asian Crisis594 cited
  • 2001Measuring Contagion: Conceptual and Empirical Issues514 cited
  • 1998Contagion: Monsoonal Effects, Spillovers, and Jumps between Multiple Equilibria419 cited
  • 1996Credible Liberalizations and International Capital Flows: The "Overborrowing Syndrome"331 cited
  • 1999What Triggers Market Jitters? A Chronicle of the Asian Crisis329 cited
  • 1999Perspectives on the recent currency crisis literature303 cited

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1999
Financial Market Contagion in the Asian Crisis
184 cited

Cited by

  • 2006An early warning system for detection of financial crisis using financial market volatility47 cited
  • 2007Revisiting the Dependence between Financial Markets with Copulas41 cited
  • 2004Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises35 cited
  • 2022Exchange rate volatility connectedness during Covid-19 outbreak: DECO-GARCH and Transfer Entropy approaches28 cited
  • 2005Stock Returns and the Macroeconomic Environment Prior to the Asian Crisis in Selected Southeast Asian Countries27 cited
  • 2007Do Thai stock prices deviate from fundamental values?27 cited
  • 2007Examination of the efficient market hypothesis—the case of post-crisis Asia Pacific countries24 cited