アジア通貨・株価の伝播と連動性に関する分析 (福田 慎一・小川 英治編、『国際金融システムの制度設計』、東京大学出版会、2006年2月、pp.175-200に掲載)



This paper analyzes the co-movement of the exchange rates and the stock prices from the viewpoint of contagion among the eight countries in the region during the period of Asian currency crisis, 1997-1999. Ito and Hashimoto (2002; NBER working paper) proposed a new definition of high-frequency contagion, impacts from the crisis origin country to another country, using daily exchange rate data. This paper extends the idea to including the crisis origins in the stock market that are identified separately from the crisis origins in the foreign exchange markets.. Then contagion is defined not only among the exchange rates and stock prices separately, but also between an exchange rate and a stock price of the same country or of different countries. We use a friction model and a Tobit model to analyze the impact of a negative shock in one asset price to others. It is found, among others, that there was, in general, the contagion between the exchange rates and stock prices; that the stock prices in Hong Kong were found to suffer from contagious effects from the decline in the Asian currencies; and that Indonesian, Korean and Thai currency depreciation and Hong Kong stock price declines had impacts on other currencies and stock prices in the region during the crisis period.