Currency Market Contagion in the Asia-Pacific Region

17 Pages Posted: 11 Dec 2004

See all articles by Mardi Dungey

Mardi Dungey

University of Cambridge - Cambridge Endowment for Research in Finance (CERF)

Renee Fry

Australian National University (ANU) - Department of Economics

Vance L. Martin

University of Melbourne - Department of Economics; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

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.

Suggested Citation

Dungey, Mardi and Fry, Renee and Martin, Vance L., Currency Market Contagion in the Asia-Pacific Region. Available at SSRN: https://ssrn.com/abstract=625743

Mardi Dungey (Contact Author)

University of Cambridge - Cambridge Endowment for Research in Finance (CERF) ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom

HOME PAGE: http://www.dungey.bigpondhosting.com

Renee Fry

Australian National University (ANU) - Department of Economics ( email )

Canberra, Australian Capital Territory 2600
Australia

Vance L. Martin

University of Melbourne - Department of Economics ( email )

Melbourne, 3010
Australia

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
Australia

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