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Regional vulnerability: The case of East Asia
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Mody, Ashoka and Taylor, Mark P.. (2007) Regional vulnerability: The case of East Asia. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 26 (8). pp. 1292-1310. ISSN 0261-5606
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Official URL: http://dx.doi.org/10.1016/j.jimonfin.2007.06.012
Abstract
In a case study of six East Asian economies, we use dynamic factor analysis to estimate a regional component of the exchange market pressure index (EMPI) as a measure of regional financial stress. The extent to which this indicator is explained by regional economic and financial factors is interpreted as regional vulnerability to crisis. We find that regional external liabilities and exuberance in domestic stock and credit markets, as well as the US high-yield spread, were positively correlated with regional vulnerability. Individual country EMPIs are also explained by regional factors, with country-specific factors and trade linkages playing little role. (c) 2007 Published by Elsevier Ltd.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Journal or Publication Title: | JOURNAL OF INTERNATIONAL MONEY AND FINANCE |
| Publisher: | ELSEVIER SCI LTD |
| ISSN: | 0261-5606 |
| Date: | December 2007 |
| Volume: | 26 |
| Number: | 8 |
| Number of Pages: | 19 |
| Page Range: | pp. 1292-1310 |
| Identification Number: | 10.1016/j.jimonfin.2007.06.012 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/30752 |
Data sourced from Thomson Reuters' Web of Knowledge
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