stress, very few discussed the contagion or spillover effects in terms of capital flow volatility. This paper is one of the … 1980–2009, the empirical results suggest strong and significant contagion effects in the volatility of capital flows to … individual economies. The magnitudes of contagion vary depending on the type of capital flows, whether it is foreign direct …

phenomenon known as contagion. The model generates predictions consistent with other important empirical results such as …

wealth transfers to or from the Periphery countries. These implicit transfers are responsible for creating contagion among …

financial contagion across countries and sectors and finds that the crisis led to an increased co-movement of returns among …

In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and … contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of … combination of globalization and flight to quality, while emphasizing that contagion on the equity markets appears as an artifact …

contagion of the U.S. financial crisis by constructing shock models for partially overlapping and non-overlapping markets. There … exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional … variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier …

offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt … period, and the intensification of causality recorded in 70% of the cases provide clear evidence of contagion in the …

with contagion and spillover effects. We employ a trivariate asymmetric BEKK-type GARCH-in-Mean (MGARCH-M) approach to … markets. We find empirical evidence of contagion effect and spillovers between stock market and foreign exchange market during …