, which can be used to identify the channels of spillovers. We find some evidence of financial contagion around the collapse …

symptom of financial contagion around the collapse of Lehman Brothers in September 2008. There appears to be a regime shift to …

existence of pure contagion (Masson, 1999) rather than shift-contagion (Rigobon, 2003). Then, we explicitly define financial … “contagion” in accordance with Eichengreen et al. (1996) and we extend the Cerra and Saxena (2002) methodology by using a Markov … subprime crisis. In addition, there is evidence of mean and volatility contagion in MENA stock markets caused by the US stock …

, which can be used to identify the channels of spillovers. We find some evidence of financial contagion around the collapse …

constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a … risk of a crisis for EMEs. Third, contagion has a very strong impact, consistent with the past literature, especially …

This paper shows how expectations-driven contagion of currency crises can arise even if the currency market has a … expectations. Even though this contagion is driven solely by expectations, the model places restrictions on observable variables …

This paper proposes a model encompassing alternative views of contagion by highlighting the different channels of … channel of contagion. The possible stabilization effects of capital controls and Tobin tax on the international transmission …

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …