FINANCIAL STRESS IN ASEAN-5 ECONOMIES FROM THE ASIAN CRISIS TO THE GLOBAL CRISIS

被引：4

作者：

Hwa, Tng Boon ^{[1
]}

Teng, Kwek Kian ^{[2
]}

Sheng, Andrew ^{[2
,3
]}

机构：

[1] Bank Negara Malaysia, Kuala Lumpur 50480, Malaysia

[2] Univ Malaya, Fac Econ & Adm, Dept Econ, Kuala Lumpur 50603, Malaysia

[3] Tsinghua Univ, Grad Sch Econ & Management, Kuala Lumpur 50603, Malaysia

来源：

SINGAPORE ECONOMIC REVIEW | 2012年 / 57卷 / 02期

关键词：

Financial stress index; financial crisis; financial networks;

D O I：

10.1142/S0217590812500130

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We construct four market-specific Financial Stress Indices (FSIs) and overall FSIs for the ASEAN-5 economies from 1997 to 2009. Using the FSIs, we establish stylized features of financial stress and characterize the connectivity of financial markets. The results show that stress was most severe during the Asian Crisis, followed by the Tech Burst and the recent Global Crisis. Principal component analysis (PCA) demonstrates that regional connectivity is strongest in equity markets, implying their predominant role in the transmission of stress within the region. Meanwhile, Singapore possesses the lowest connectivity within the ASEAN cluster, but the highest to international markets.

引用

页数：24

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