otherwise, Damp,i,t = 1 if st > x and 0 otherwise; x = 0.5%. hs,t = the time-varying exchange rate volatility [ st follows a GARCH (1,1)]; ε i,t = error term which follows a and GJRGARCH(1,1) process: ε i,t = µi,t hε ,i,t hε ,i,t = ωε ,i + αε ,iε t2−1 + γ i Di,t −1ε t2−1 + βε ,i hε ,i,t −1 : Di,t −1 is equal to 1 if ε i,t is negative and 0 otherwise. hε ,i,t denotes the conditional variance of the residuals and µi,t the
white noise error term. Table 5-1. Results for the financial Asian crisis Before 1997 Crisis Firms Exposed at
10%
Firms Exposed (10%)
β3 %
Qty
%
Qty
%
Qty
%
Qty
%
68.2%
3
2.8%
12
11.2%
11
10.3%
38
35.51%
>0
<0
>0
<0
>0
<0
>0
<0
>0
<0
73
0
11
0
0
3
100.00%
100.0%
-0.03213
(persistence)
6
6
50.0%
-0.03385 0.027354
50.0%
100.0%
-0.024 0.019768
12
26
31.58%
68.42%
0.055264 -0.05116
0.957884 0.84792
After 1997 Crisis
107
Sample Size
β*2,i
Firms Exposed at
10%
γ
β5
73
Mean
βε ,i
β4
Qty
% of Exposed (10%)
Mean β1
107
Sample Size
β*2,i
β3
β4
γ
β5
Qty
%
Qty
%
Qty
%
Qty
%
Qty
%
19
17.8%
10
9.3%
5
4.7%
21
19.6%
16
14.95% <0
>0
<0
>0
<0
>0
<0
>0
<0
>0
Firms Exposed (10%)
1
18
4
6
1
4
17
4
6
% of Exposed (10%)
5.26%
94.74%
Mean
0.030092
Mean β1 (persistence)
βε ,i
40.0%
-0.03424 0.027335
60.0%
20.0%
80.0%
81.0%
10
19.0% 37.50%
62.50%
-0.02301 0.020724 -0.02562 0.084684 -0.09046 0.009184 -0.01992
0.830507 0.773692
Table 5-2. Results for the 2007 global financial crisis Before 2007 Crisis Firms Exposed at
10%
Firms Exposed (10%)
β4
γ
β5
%
Qty
%
Qty
%
Qty
%
Qty
%
77
72.0%
7
6.5%
13
12.1%
7
6.5%
47
43.93%
>0
<0
>0
<0
>0
<0
>0
<0
>0
<0
0
77
3
4
12
1
2
5
1
46
92.3%
7.7%
2.13%
97.87%
100.00%
42.9%
57.1%
28.6%
71.4%
-0.02764 0.046218 -0.02208 0.021691 -0.02033 0.030258 -0.04359 0.001948 -0.02206
Mean
(persistence)
β3
Qty
% of Exposed (10%)
Mean β1
107
Sample Size
β*2,i
βε ,i
0.778536 0.841758
North American Review of Finance, vol.13, no.1
62