Stock prices as a leading indicator of the East Asian financial crisis
Broome, S. and Morley, B., 2004. Stock prices as a leading indicator of the East Asian financial crisis. Journal of Asian Economics, 15 (1), pp. 189-197.
|PDF (East Asian Financial Crises) - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader |
Download (266kB) | Preview
Using a basic monetary model, we assess the effectiveness of stock prices as a leading indicator of the East Asian currency crisis in 1997 and 1998. Stock prices are incorporated into a monetary model, through the wealth effect postulated by Friedman [J. Pol. Econ. 96 (1988) 221]. In addition to the domestic stock price, we also incorporate the stock prices of Hong Kong, China and Japan. Using monthly data, the results indicate that the domestic stock price, the Hong Kong stock price and particularly US prices are significant leading indicators of the crisis. Causality tests suggest evidence of bi-causality between the stock markets and foreign exchange markets.
|Creators||Broome, S.and Morley, B.|
|Departments||Faculty of Humanities & Social Sciences > Social & Policy Sciences|
Faculty of Humanities & Social Sciences > Economics
Actions (login required)