The South East Asian crisis has started a debate on contagion. This paper aims at throwing some light on the same issue. We analyze the short-run and long-run dynamics between currency markets of six South East Asian economies using the Vector Auto Regression technique. The currency markets of...

In this work we investigate how a number of crises have affected most of the stock markets in the world. First, we apply Time Series Factors Analysis (TSFA) in order to reduce the dimensionality of the series under study and obtain a lower number of factors that can be related to regions. Then...

We examine contagion and flight-to-quality phenomena implied by carry strategies. More specifically, we analyze correlation dynamics between returns on a global equity index and returns on an investment strategy with a long position in high-yield and a short position in low-yield markets....

If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....