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Financial Stress In Asean-5 Economies From The Asian Crisis To The Global Crisis

Author

Listed:
  • BOON HWA TNG

    (Bank Negara Malaysia, Jalan Dato' Onn, 50480 Kuala Lumpur, Malaysia)

  • KIAN TENG KWEK

    (Faculty of Economics and Administration, Department of Economics, University of Malaya, 50603 Kuala Lumpur, Malaysia)

  • ANDREW SHENG

    (Faculty of Economics and Administration, Department of Economics, University of Malaya and Graduate School of Economics and Management, Tsinghua University, 50603 Kuala Lumpur, Malaysia)

Abstract

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.

Suggested Citation

  • Boon Hwa Tng & Kian Teng Kwek & Andrew Sheng, 2012. "Financial Stress In Asean-5 Economies From The Asian Crisis To The Global Crisis," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 57(02), pages 1-24.
    • Handle: RePEc:wsi:serxxx:v:57:y:2012:i:02:n:s0217590812500130
    DOI: 10.1142/S0217590812500130
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    Cited by:

    1. Mansour Ishrakieh, Layal & Dagher, Leila & El Hariri, Sadika, 2018. "The Institute of Financial Economics Financial Stress Index (IFEFSI) for Lebanon," MPRA Paper 116054, University Library of Munich, Germany.
    2. Layal MansourIshrakieh & Leila Dagher & Sadika El Hariri, 2020. "A financial stress index for a highly dollarized developing country : The case of Lebanon," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 20(2), pages 43-52.
    3. Koong, Seow Shin & Law, Siong Hook & Ibrahim, Mansor H., 2017. "Credit expansion and financial stability in Malaysia," Economic Modelling, Elsevier, vol. 61(C), pages 339-350.
    4. Mansour-Ichrakieh, Layal & Zeaiter, Hussein, 2019. "The role of geopolitical risks on the Turkish economy opportunity or threat," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    5. Haddou, Samira, 2022. "International financial stress spillovers to bank lending: Do internal characteristics matter?," International Review of Financial Analysis, Elsevier, vol. 83(C).

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    More about this item

    Keywords

    Financial stress index; financial crisis; financial networks; E51; G01; G32;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G01 - Financial Economics - - General - - - Financial Crises
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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