A quarter century after the 1997 Asian crisis: Looking back, where are we now?

Abstract

This study examines the evolution of systemic risk and contagion among Asian currencies and assesses whether vulnerabilities comparable to the 1997 Asian Crisis have re-emerged. Using daily exchange-rate returns for ten Asian currencies from 1994 to 2025, we combine component expected shortfall, an entropy-based systemic-risk concentration index, and the multilayer information spillover network framework. The findings show a transition from a highly concentrated crisis-period risk structure to a more diversified but still strongly interconnected regional currency system. The multilayer evidence identifies the South Korean won and Indonesian rupiah as persistent receivers of contagion, while the Chinese renminbi and Malaysian ringgit become more important receivers in the recent period. The Japanese yen emerges as a dominant transmitter of regional contagion, suggesting that yen-related policy and capital-flow developments may signal regional stress. The results support continuous surveillance, macroprudential coordination, and regional swap arrangements.