Financial Contagion of the Currency Markets of the Asian Region during Periods of Large-Scale Economic Shocks

This article examines the issues of transmission and intensity of financial contagion through the currency channel among countries in the Asian region during three crisis periods: global financial crises, global energy crises, and the COVID-19 pandemic. The empirical research results presented indicate the susceptibility of Asian markets to financial contagion. Univariate DCC-GARCH models and the Forbes – Rigobon rolling test were employed to assess this phenomenon. The results showed varying susceptibility of Asian markets to financial contagion during crisis periods. The Japanese yen exhibited the highest susceptibility, while the South Korean won proved to be the most resilient Asian currency. The use of the results obtained in practical activities will make it possible to identify vulnerabilities in the foreign exchange market management system and prevent possible economic losses.