Southeast Asian countries, severely affected by the Asian financial crisis triggered in Thailand in 1997, had manifested signs of recovery in terms of their economic growth during the early to mid-2000s. Nevertheless, after the global credit crisis that originated in the U.S. mortgage market and, in particular, culminated with the bankruptcy of Lehman Brothers in September 2008, the countries did not find relief from the adverse impacts of the financial meltdown. Interestingly, the credit crisis amplified, spreading to several Southeast Asian countries whose direct exposures to the U.S. sub-prime mortgages were rather limited. In fact, after the Lehman shock, countries in the region, particularly Indonesia and the Philippines, not only experienced sharp devaluations of their local currencies against the U.S. dollar, but were also confronted with simultaneous increases in their sovereign credit default swaps 1 .