RDP 2001-03: The Response of Financial Markets in Australia and New Zealand to News About the Asian Crisis References
July 2001
- Download the Paper 677KB
Almeida A, CAE Goodhart and R Payne (1998), ‘The Effects of Macro-economic News on High Frequency Exchange Rate Behaviour’, Journal of Financial and Quantitative Analysis, 33(3), pp 383–408.
Andersen TG, T Bollerslev, FX Diebold and P Labys (1999), ‘The Distribution of Exchange Rate Volatility’, Wharton Financial Institutions Center Working Paper No 99–08, University of Pennsylvania.
Baig T and I Goldfajn (1998), ‘Financial Market Contagion in the Asian Crisis’, IMF Working Paper WP98/155.
Baig T and I Goldfajn (1999), ‘Financial Market Contagion in the Asian Crisis’, International Monetary Fund Staff Papers, 46(2), pp 167–195.
Bank for International Settlements (1998), 68th Annual Report, ‘Chronology of the Crisis’.
Calvo GA and EG Mendoza (1999), ‘Rational Contagion and the Globalization of Securities Markets’, NBER Working Paper No 7153.
Campbell F and E Lewis (1998), ‘What Moves Yields in Australia?’, Reserve Bank of Australia, Research Discussion Paper No 9808.
Chatfield C and AJ Collins (1980), Introduction to Multivariate Analysis, Chapman and Hall Ltd, London.
Cooley WW and PR Lohnes (1971), Multivariate Data Analysis, Wiley, New York.
Dungey M (1999), ‘Contagion in Currency Crises: What do We Mean?’, Australian National University, mimeo, available from <URL:http://www.economics.anu.edu.au/staff/dungey>.
Dungey M and V Martin (2001), ‘Contagion in the East Asian Currency Crisis’ in J Behrman, J Dutta, S Husted and S Pitayanon (eds) Restructuring the Economies of Asia for the New Millennium, Elsevier Science, Amsterdam (forthcoming).
Eichengreen BJ, AK Rose, and C Wyplosz (1995), ‘Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks’, Economic Policy: A European Forum, 21, pp 251–312.
Eichengreen BJ, AK Rose and C Wyplosz (1996), ‘Contagious Currency Crises: First Tests’, Scandinavian Journal of Economics, 98(4), pp 463–484.
Engle RF, T Ito and W Lin (1990), ‘Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market,’ Econometrica, 58(3), pp 525–542.
Fleming MJ and JA Lopez (1999), ‘Heat waves, Meteor Showers and Trading Volume: An Analysis of Volatility Spillovers in the U.S. Treasury Market’, Federal Reserve Bank of San Francisco Working Papers in Applied Economic Theory, 99–09.
Fleming MJ and EM Remolona (1997), ‘What Moves the Bond Market?’, Federal Reserve Bank of New York Economic Policy Review, 3(4), pp 31–50.
International Monetary Fund (1998), ‘The Asian Crisis: Capital Markets Dynamics and Spillover, Chronology of Major Events in the Asian Crisis and its Spillover’, IMF World Economic Outlook, September.
Kaminsky GL and SL Schmukler (1999), ‘What triggers market jitters? A chronicle of the Asian Crisis’, Journal of International Money and Finance, 18(4), pp 537–560.
Kim S-J (1996), ‘Inflation News in Australia: Its Effects on Exchange Rates and Interest Rates’, Applied Financial Economics, 6, pp 225–231.
Kim S-J and JR Sheen (1998), ‘International Linkages and Macroeconomic News Effects on Interest Rate Volatility – Australia and the US’, University of Sydney, Working Papers in Economics No 98–11.
Kim S-J (1999), ‘The Short-Term Dynamics of Bond Futures Market Response to New Information: Australian Evidence’, University of New South Wales, School of Banking and Finance Working Papers, 1999–03.
Kortian T and J O'Regan (1996), ‘Australian Financial Market Volatility: An Exploration of Cross-Country and Cross-Market Linkages’, Reserve Bank of Australia Research Discussion Paper No 9609.
Lane T, A Ghosh, J Hamann, S Phillips, M Schultze-Ghattas and T Tsikata (1999), ‘IMF-Supported Programs in Indonesia, Korea and Thailand’, IMF Occasional Paper No 178.
Lowell J, CR Neu and D Tong (1998), ‘Financial Crisis and Contagion in Emerging Market Countries’, RAND Working Paper MR–962.
Masson PR (1998), ‘Contagion: Monsoonal Effects, Spillovers, and Jumps between Multiple Equilibria’, IMF Working Paper WP98/142.
Roubini N (1999), ‘Asia Chronology’, Chronology of the Asian Currency Crisis and its Global Contagion, available at <URL:http://www.stern.nyu.edu/~nroubini/asia/AsiaChronology1.html> and <URL:http://www.stern.nyu.edu/~nroubini/asia/AsiaChronology1998.html>.
Silverman BW (1986), Density Estimation for Statistics and Data Analysis, Chapman and Hall Ltd, London.
World Bank (1998), World Bank Atlas, Washington DC.