Dynamic capital mobility, capital-market risk, and contagion: evidence from seven Asian countries

Japan and the World Economy - Tập 15 - Trang 161-183 - 2003
Hong-Ghi Min1, Judith A McDonald2, Jaeyong Choung1
1School of Business, Information and Communications University, Yusong, P.O. Box 77, Dae-Jun 305-600, South Korea
2Economics Department, Rauch Business Center, Lehigh University, 621 Taylor Street, Bethlehem, PA 18015-3117, USA

Tài liệu tham khảo

Bhatti, 1994, A new approach to testing ex ante purchasing power parity, Applied Economics Letters, 1, 148, 10.1080/135048594358005 Bhatti, 1995, An alternative approach to testing uncovered interest parity, Applied Economics Letters, 2, 478, 10.1080/135048595356916 Bollerslev, 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307, 10.1016/0304-4076(86)90063-1 Choueiri, 2002, A model of contagious currency crises with application to Argentina, Journal of International Money and Finance, 4, 435, 10.1016/S0261-5606(02)00008-6 Cumby, R.E., 1987. Is it risk? Explaining deviations from uncovered interest parity. NBER Working Paper No. 2380. Cumby, R.E., Obstfeld, M., 1984. International interest-rate and price-level linkages under flexible exchange rates: a review of recent evidence. In: Bilson, J.F.O., Marston, R.C. (Eds.), Exchange Rate Theory and Practice. University of Chicago Press, Chicago. Domowitz, 1985, Conditional variance and the risk premium in the foreign exchange market, Journal of International Economics, 19, 47, 10.1016/0022-1996(85)90018-2 Faruqee, 1992, Dynamic capital mobility in Pacific Basin developing countries: a conceptual framework, IMF Staff Papers, 39, 706, 10.2307/3867478 Feldstein, 1980, Domestic saving and international capital flows, Economic Journal, 90, 314, 10.2307/2231790 Frankel, J.A., 1992. Is Japan creating a yen bloc in East Asia and the Pacific? NBER Working Paper No. 4050. Frankel, 1994, A ‘greater China’ trade bloc?, China Economic Review, 5, 179, 10.1016/1043-951X(94)90022-1 Glick, 1999, Contagion and trade: why are currency crises regional?, Journal of International Money and Finance, 18, 603, 10.1016/S0261-5606(99)00023-6 Hassapis, 1995, Exchange risk in the EMS: some evidence based on a GARCH model, Bulletin of Economic Research, 47, 295, 10.1111/j.1467-8586.1995.tb00616.x International Monetary Fund, 1998. International Financial Statistics. CD-Rom version, August. International Monetary Fund, various years. Direction of Trade Statistics. Kaminsky, 1999, What triggers market jitters? A chronicle of the Asian crisis, Journal of International Money and Finance, 18, 537, 10.1016/S0261-5606(99)00015-7 Kohsaka, A., 1996. Interdependence through capital flows in Pacific Asia and the role of Japan. In: Ito, T., Krueger, A. (Eds.), Financial Deregulation and Integration in East Asia. University of Chicago Press, Chicago, pp. 107–142. Krol, 1996, International capital mobility: evidence from panel data, Journal of International Money and Finance, 15, 467, 10.1016/0261-5606(96)00014-9 Kuen, T.Y., Song, T.K., 1996. Interest parity and dynamic capital mobility: the experience of Singapore. In: Ito, T., Krueger, A. (Eds.), Financial Deregulation and Integration in East Asia. University of Chicago Press, Chicago, pp. 335–354. Malliaropulos, 1997, A multivariate GARCH model of risk premium in foreign exchange markets, Economic Modeling, 14, 61, 10.1016/S0264-9993(96)01010-3 Meredith, G., Chin, M., 1998. Long-horizon uncovered interest parity. IMF Mimeo. Moosa, 1997, Are Asian markets integrated? Evidence for six countries vis-à-vis Japan, International Economic Journal, 11, 51, 10.1080/10168739700080004 The World Bank, 1997. Global Development Finance.