Regional vulnerability: The case of East Asia

Ashoka Mody, Mark P. Taylor

Research output: Contribution to journalArticlepeer-review

14 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)1292-1310
Number of pages19
JournalJournal of International Money and Finance
Issue number8
StatePublished - Dec 2007
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics


  • Contagion
  • Currency crisis
  • Dynamic factor analysis
  • Vulnerability


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