Currency shocks and the stability of the global financial system play crucial roles in international trade and investment. However, there is a lack of literature that analyses these relationships, particularly in newly industrialized Asian countries. This study fills this gap by focusing on Thailand, India, and China. Employing the exchange rate (ER) and the OFR financial stress index (FSI), we conduct a comprehensive analysis. Our results show distinct relationships among these variables. In Thailand, the ER has a long-term impact on the FSI, accompanied by positive feedback between shocks. In India, the ER is highly sensitive to the FSI, with the FSI consistently triggering negative ER shocks. In China, the ER affects the FSI only in the short run, and this impact may be negatively correlated. Additionally, increased financial stress may also increase the Chinese ER on average. These findings not only reveal the diverse economic development patterns in newly industrialized countries but also offer valuable insights for policy-makers to formulate more targeted economic policies.