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dc.contributor.authorKallberg, Jarl G.
dc.contributor.authorLiu, Crocker H.
dc.contributor.authorPasquariello, Paolo
dc.date.accessioned2020-09-12T21:15:35Z
dc.date.available2020-09-12T21:15:35Z
dc.date.issued2005-01-01
dc.identifier.other4746624
dc.identifier.urihttps://hdl.handle.net/1813/72525
dc.description.abstractUsing a nonparametric technique for the identification of regime shifts, we find breaks in the structural relations between currency and equity returns and return volatility in Indonesia, Malaysia, the Philippines, South Korea, Taiwan, and Thailand during the recent Asian crisis. Volatility breaks occurred in late 1994 and 1997, while return breaks were concentrated in early 1998. After the estimated breaks, many Asian equity markets became more responsive to the volatility of the corresponding domestic exchange rate. We find that information spillover and portfolio rebalancing, rather than common information shocks, represented major channels for the transmission of breaks across countries.
dc.language.isoen_US
dc.rightsRequired Publisher Statement: © University of Chicago Press. Reprinted with permission. All rights reserved.
dc.subjectcurrency markets
dc.subjectequity markets
dc.subjectAsian financial crisis
dc.subjectregime shifts
dc.titleAn Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets
dc.typearticle
dc.description.legacydownloadsLiu7_An_Examination_of_the_Asian_Crisis.pdf: 290 downloads, before Aug. 1, 2020.
local.authorAffiliationKallberg, Jarl G.: New York University
local.authorAffiliationLiu, Crocker H.: chl62@cornell.edu Cornell University
local.authorAffiliationPasquariello, Paolo: University of Michigan


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