تحرک پذیری سرمایه پویا، ریسک بازار سرمایه، و سرایت آن: شواهد از هفت کشور آسیایی

This paper analyzes three important issues related to the Asian financial crisis. First, was capital mobility increasing in this area during the 1990s? Second, was there a sudden increase of capital-market risk in those countries? Finally, is there any evidence of contagion in the Asian capital market? Using monthly time-series data, we find that capital mobility had been rapidly increasing before the crisis; there was a sudden increase in capital-market risk; and there is evidence of contagion in the Asian capital market from Thailand to other Asian countries.

Both the steady globalization of financial markets and the sudden crash in East Asia motivated our inquiry into the role that capital mobility and contagion played in the financial crisis. This paper evaluates three issues that are critically important to a full understanding of the Asian financial crisis. First, was capital mobility increasing before the crisis? Second, was there a sudden increase of capital-market risk in those countries? Third, is there evidence of contagion in the Asian capital market? Using monthly time-series data, we develop estimates that can be used to measure dynamic capital mobility and contagion. We find that capital mobility was increasing rapidly before the crisis and that there was a sudden increase in capital-market risk in 1997. We also find evidence of contagion in capital markets from Thailand to other Asian countries. This paper uses econometric models to estimate dynamic capital mobility, capital-market risk, and contagion in Asian crisis countries. First, we estimate dynamic capital mobility using the deviation from uncovered interest parity (UIP). UIP is a much more relevant concept than covered interest parity (CIP), because the countries under investigation are not developed enough to be able to make wide use of sophisticated financial instruments to cover foreign exchange-rate risk. Second, we estimate the capital-market risk of seven Asian countries using a GARCH model of conditional variance. Third, Granger-causality tests reveal evidence of contagion in these countries’ capital markets. This paper is organized as follows. Section 2 estimates the dynamic capital mobility of seven Asian countries. Section 3 provides estimates of increased capital-market risk in these countries and Section 4 provides evidence of contagion in East Asia using a Granger-causality test of time-varying capital-market risk. Section 5 concludes.