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Vol. 55, No. 3, pp. 204-216 (2004)

“Origin and Contagion of Asian Financial Crises -Daily Data Analysis-”
Takatoshi Ito (Faculty of Economics and Research Center for Advanced Science and Technology, The University of Tokyo), Yuko Hashimoto (Faculty of Economics, Toyo University)

This paper examines high-frequency contagion effects among six Asian currencies using daily data during the period of Asian Currency Crises. Our methodology of contagion is that a financial crisis transmits from the worst-hit currency to others: the worst-hit currency in the past 5 days is referred to as "origin" and others as "affected". Our methodology is distinguished in that in studying contagion effects it clearly identifies the causality between the distinguished "origin" and the "affected" in the crisis transmission relation. From the estimation, Indonesia and Korea are found to be the two main origin countries. This paper also investigates several factors such as trade linkage and bank lending that would be suspected as the crisis transmission channel. A positive relationship between trade link channels and crisis spillovers is found.