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aggregate and bank aggregate stock returns AINTDIFF Asian crisis Asian financial crisis autocorrelation bank stock returns banking sector benchmark model coefficients cointegrating vector correlated country risk premium credit spreads currency per dollar currency values default depreciate the exchange Dickey-Fuller tests domestic interest rates endogeneity problems estimation results exchange rate depreciation expected future exchange explanatory variables Federal Reserve System Finance Discussion Papers financial crises first-differenced first-differences floating exchange rate Furman and Stiglitz future exchange rate identify the impact impact of interest impact of monetary increases in interest Indonesia Korea Malaysia inflation expectations inflation rates interest rate differential International Finance Discussion investor perceptions July 94 Korea Malaysia Mexico lagged level Likelihood ratio test Malaysia Mexico Philippines Mexico Philippines Thailand monetary tightening nominal interest rates null hypothesis policy on exchange rates during financial rates on exchange real exchange rate real interest rate spreads and stock STKRET tightening monetary policy tightening of monetary U.S. dollar