English, Article edition: Exchange Rate Volatility and the Asian Financial Crisis: Evidence from South Korea and ASEAN-5 Ahmad Zubaidi Baharumshah; Hooy Chee Wooi

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Exchange Rate Volatility and the Asian Financial Crisis: Evidence from South Korea and ASEAN-5
Author
  • Ahmad Zubaidi Baharumshah
  • Hooy Chee Wooi
Physical Description
  • article
Notes
  • This paper investigates the degree of volatility and asymmetric behavior of real exchange rates in East Asian. Exponential generalized autoregressive heteroskedasticity (EGARCH) is deployed to estimate the volatility of the exchange rate returns before and after the 1997 Asian financial crisis. We found that the EGARCH (1,1) specification fits the monthly currency series of the Asian currencies well, suggesting that volatility in exchange rates is time varying and asymmetric. The results show that before the crisis, only three currencies displayed evidence of asymmetries in their conditional variance. After the sharp fall in their currencies, all but one showed a significant increase in volatility and asymmetric effect. We conclude that the crisis caused a contagion that spread through the currency markets. The results of this study underline the importance of economic and political stability in the member countries for the stability of the regional economy.
  • EGARCH, asymmetric, exchange rates, spillover effect, JEL Classification: G12, JEL Classification: F31
  • RePEc:wsi:rpbfmp:v:10:y:2007:i:02:p:237-264
Language
  • English
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