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Correlation Analysis of Financial Contagion: What One Should Know before Running a Test
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2001
This paper presents a general test of contagion in financial markets based on bivariate correlation analysis � a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … hypothesis of 'no contagion' can be rejected only if the variance of country specific shocks is set to levels that are not …
Persistent link: https://www.econbiz.de/10005467302
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - European Central Bank - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...
Persistent link: https://www.econbiz.de/10008458415
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Net Foreign Asset (Com)position: Does Financial Development Matter?
Vermeulen, Robert; Haan, Jakob de - de Nederlandsche Bank - 2012
We investigate the relationship between a country's domestic financial development and the (composition of its) net foreign asset position using a pooled mean group estimator and data for 51 countries during the period 1970-2007. The results show that financial development reduces a country's...
Persistent link: https://www.econbiz.de/10009652211
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Modelling time-varying correlations of financial markets
Wong, A.S.K.; Vlaar, P.J.G. - de Nederlandsche Bank - 2003
In this report we examine time-varying correlations of asset returns using the Dynamic Conditional Correlation (DCC) models, recently proposed by Engle (2002), that are estimated by a two-step procedure. First, we conclude that correlations vary considerably over time. Secondly, the conditional...
Persistent link: https://www.econbiz.de/10005106732
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A Primer on Financial Contagion
Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2001
shocks. We first review the different definitions and measures of contagion used in the literature. We then use a simple … multi-country asset pricing model to cast the main elements of the current debate on contagion and provide a stylized … classification, we survey the results obtained in the empirical literature on contagion. …
Persistent link: https://www.econbiz.de/10005609346
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The pitch rather than the pit: investor inattention during FIFA World Cup matches
Ehrmann, Michael; Jansen, David-Jan - de Nederlandsche Bank - 2012
At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key...
Persistent link: https://www.econbiz.de/10009493318
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A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets
Goorbergh, Rob van den - de Nederlandsche Bank - 2004
This paper investigates the level and development of cross-country stock market dependence using daily returns on stock indices. The use of copulas allows us to build exible models of the joint distribution of stock index returns. In particular, we apply univariate AR(p)-GARCH(1,1) models to the...
Persistent link: https://www.econbiz.de/10005101799
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Contagion during the Greek Sovereign Debt Crisis
Mink, Mark; Haan, Jakob de - de Nederlandsche Bank - 2012
Using an event study approach, we examine the impact of news about Greece and news about a Greek bailout on bank stock prices in 2010 using data for 48 banks included in the European stress tests. We identify the twenty days with extreme returns on Greek sovereign bonds and categorize the news...
Persistent link: https://www.econbiz.de/10009493319
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Measuring Stock Market Contagion with an Application to the Sub-prime Crisis
Mink, Mark; Mierau, Jochen - de Nederlandsche Bank - 2009
We present a new method to examine financial contagion, defined as a sudden strengthening of shock transmission between …
Persistent link: https://www.econbiz.de/10004963328