622 - Contagion and capital flows: an empirical analysis of the Asian crisis

Wetenschappelijke publicatie
Date 1 January 2000

In the nineties, the number of currency crises has been high, both in the industrial world and among emerging countries. An important characteristic of many of these crises is that they started in one country but very soon affected others as well. Currency crises seemed to be contagious. In this article, it is investigated whether the interdependence of capital flows to Asian countries was affected by the crisis in Thailand. It will be shown that the transmission of capital flows to Indonesia and Korea was affected by the Asian crisis, whereas for the Philippines no significant change in the interdependence could be detected. Key words: crisis conditional dependence, identification based on variance increase JEL codes: G15, F21, F32