1 - 9 of 9 articles
We suggest that the Asian financial crisis began because of theinconsistent exchange rate system and miss-management within Thailand. We showthat prior tothe Asian financial crisis the Thai Baht against the Yen followed the theoryofpurchasing power parity but the Baht against the U.S. Dollar did...
Two possible causes of the Korean financial crisis are examined: (1)deterioration of the macroeconomic indicators andinconsistent policies and (2) sudden shifts in the market expectation andconfidence. Although the truthseems to lie between these causes, we conclude that the Korean currency...
Regarding the question of when the Korean currency crisis actually started,several financial time series areexamined in a multivariate time series framework with the GeneralizedAutoregressive Conditional Heteroskedastic (GARCH) process.The likelihood ratio (LR) test is used to find a structural...
This paper presents the reasons why Taiwan has been immune tothe Asian financial crisis. It shows that the purchasingpower parity theory applies to the N.T. dollar exchangerate and analyzes daily data on exchange rates andstock prices within the ARMA-GARCH regressionframework. Using the Granger...
Regime-shift models of daily returns are estimated for the foreign exchange rates of the Asian currencies that suffered from drastic devaluation during the Asian financial crisis in 1997, and the change points are detectedfor their volatility structures. Furthermore, how the persistence in the...
This study estimates the changes in volatility of the won/U.S. dollar dailyexchange rates before and after the Korean currency crisis, using the stochastic volatility model with the ARMAregression error term. We find that the persistence of volatility increased after the Koreancurrency crisis.
This paper explores the issue of causalities among five different indices of shares issued by Chinese firms, A and B Shares listed in the Shenzhen and Shanghai Stock Exchanges, and H Shares listed in the Stock Exchange of Hong Kong. By measuring cross autocorrelations and conducting Granger...
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