Mardi Dungey and Vance L. Martin, "Unravelling Financial Market Linkages
During Crises", Journal of Applied Econometrics, Vol. 22, No. 1, 2007, 
pp. 89-119.

The data files are zipped in dm-data.zip, and the gauss program files are
zipped in dm-programs.zip. These are all ASCII files in DOS format. Unix
users should use "unzip -a".

In addition, a data file in Excel format is zipped in the file dm-excel.zip.
This should not be unzipped using the "-a" option.

******* DATA DETAILS ************

The sample is daily observations covering the period 2 January 1995 to 31
August 1998.

The excel file fxdata2.xls contains all the data for Korea, Indonesia,
Thailand, Malaysia, Australia, US for each of bilateral exchange rates
against the US dollar and share market indices.

The following files contain all the data, except for the dates, which are
in a separate file.

(i) fxdata2.txt - 4 columns and 956 observations - contains bilateral
exchange rates for Korea, Indonesia, Thailand, Malaysia, Australia against
the US dollar.

(ii) sdata.txt - 7 columns and 956 observations - contains local currency
equity market indices for Indonesia, Korea, Malaysia, Thailand, Singapore,
US, Australia


******* PROGRAM DETAILS ************

All final versions of the code were run on Gauss6.0. Some earlier versions
of Gauss used different random number generators which may cause problems.

 nyse1.prg  provides the estimates of the full model in the paper (Table 5).
 impulsenyse1.prg provides the impulse responses of figure 1 in the paper.
 impulsenyse2.prg provides the impulse responses of figure 2 in the paper.
 impulsenyse3.prg provides the impulse responses of figure 3 in the paper.
 diagnostics.prg provides the diagnostics presented in the paper.

Questions can be addressed to either author. Current contact addresses are:
Mardi Dungey: m.dungey [AT] cerf.cam.ac.uk
Vance Martin: vance [AT] unimelb.edu.au