An empirical analysis of the factors determining the financial crisis in Asia

Kwack, Sung Y.

doi:10.1016/s1049-0078(00)00050-6

Cited by 29 publications

(16 citation statements)

References 22 publications

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“…Kane (2000) argues that the crisis was triggered by the agency problem that was embedded in politically directed loans, offshore innovations in financial technology, and regulatory systems. Kwack (2000) shows that increases in the three-month LIBOR interest rate and the high non-performing loan rates of the banks increased the banks' exposure to bad loans, thus triggering the crisis. Kho and Stulz (2000) examine the effect of the crisis on bank stocks and show that stock market movements explain the poor performance of banks in East Asia, while currency exposures only adversely affected banks in Indonesia and the Philippines.…”

Section: Introductionmentioning

confidence: 99%

Return Relationships between Listed Banks and Real Estate Firms: Evidence from Seven Asian Economies

2005

J Real Estate Finan Econ

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This paper studies the return relationships between listed banks and real estate firms in seven Asian economies before and after the Asian financial crisis. We find that listed banks were exposed to real estate risk both before and after the crisis, but that the exposure increased in the post-crisis period. After the crisis, the hidden risk of real estate collateral in the bank lending process was explicit, as was evidenced by the increased sensitivity and the structure break. In terms of causality, the returns of listed real estate firms are found to Granger-cause the returns of listed banks. However, there is mixed evidence as to whether listed bank returns Granger-cause the returns of listed real estate firms. The study is significant because it indicates the importance of lending policies in relation to the real estate market in establishing a healthy financial system. Copyright Springer Science + Business Media, Inc. 2005real estate markets, mortgage lending, Asian financial crisis, banking systems, non-performing loans,

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Section: Introductionmentioning

confidence: 99%

Return Relationships between Listed Banks and Real Estate Firms: Evidence from Seven Asian Economies

2005

J Real Estate Finan Econ

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“…The results suggest evidence of bi-causality between the exchange rate and domestic stock prices, as found in Kwack (2000). In addition there is evidence that the stock prices in China and particularly Japan have affected the East Asian exchange rates.…”

Section: Data and Resultsmentioning

confidence: 60%

“…To date most models for predicting currency crises have concentrated on leading indicators from either the banking sector or the current account (e.g., Kaminsky, Lizondo, & Reinhart, 1998;Kwack, 2000). When stock prices have been included, it has been limited to only domestic stock prices.…”

Section: Introductionmentioning

confidence: 99%

Stock prices as a leading indicator of the East Asian financial crisis

Broome

Morley

2004

Journal of Asian Economics

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Using a basic monetary model, we assess the effectiveness of stock prices as a leading indicator of the East Asian currency crisis in 1997 and 1998. Stock prices are incorporated into a monetary model, through the wealth effect postulated by Friedman [J. Pol. Econ. 96 (1988) 221]. In addition to the domestic stock price, we also incorporate the stock prices of Hong Kong, China and Japan. Using monthly data, the results indicate that the domestic stock price, the Hong Kong stock price and particularly US prices are significant leading indicators of the crisis. Causality tests suggest evidence of bi-causality between the stock markets and foreign exchange markets. # 2004 Elsevier Inc. All rights reserved. JEL classification: F30; E44

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“…One important factor which is present previous to Asian financial crisis is the high 3-month Libor interest rate (Kwack, 2000). In effect, previous to the crisis, the Fed has adopted a restrictive stance for its monetary policy, inducing hence higher interest on international financial markets.…”

Section: Foreign Monetary Policymentioning

confidence: 99%

External Constraint and Financial Crises with Balance Sheet Effects

Dai

2012

International Economic Journal

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This paper investigates the dynamic implications of Krugman's (1999) model of financial crises with balance-sheet effects, which has a considerable impact on the literature as well as the teaching of international financial crisis. By explicitly taking account of wealth accumulation and external equilibrium condition, it is shown that a financial crisis in emerging market economies, instead of being interpreted as a jump from a good to a bad equilibrium with zero investment and zero foreign debt, could be explained as a jump from an unstable dynamic trajectory to a stable one. The dynamic framework illustrates well the analysis of different factors at the origin of financial vulnerability and crisis. By discriminating the financial crises according to the severity of their negative impacts on the domestic economy, the present study also adds some insights in the analysis of policy implications.

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An empirical analysis of the factors determining the financial crisis in Asia

Cited by 29 publications

References 22 publications

Return Relationships between Listed Banks and Real Estate Firms: Evidence from Seven Asian Economies

Return Relationships between Listed Banks and Real Estate Firms: Evidence from Seven Asian Economies

Stock prices as a leading indicator of the East Asian financial crisis

External Constraint and Financial Crises with Balance Sheet Effects

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