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The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles
Manganelli, Simone; Cappiello, Lorenzo; Gerard, Bruno - Econometric Society - 2004
We propose a semi-parametric approach to investigate whether co-dependence across markets increase in periods of extreme returns. Given that returns on one market fall in the extreme tail of their own distribution, we compute the conditional probability that returns on another market will also...
Persistent link: https://www.econbiz.de/10005328895
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International capital flows and transmission of financial crises
Goenka, Aditya; Boschi, Melisso - Econometric Society - 2004
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 …
Persistent link: https://www.econbiz.de/10005702724
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The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners
Roca, Eduardo D.; Hatemi-J, Abdulnasser - Econometric Society - 2004
We examine the equity market price interdependence between Australia, on one hand, and Japan, US, UK, Hong Kong, Singapore, Taiwan and Korea, on the other hand, based on Hacker and Hatemi-J (2003) bootstrap causality tests with leveraged adjustments. We cover the period January 1, 1993 to...
Persistent link: https://www.econbiz.de/10005063637
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Stock Market Volatility: Examining North America, Europe and Asia
Premaratne, Gamini; Bala, Lakshmi - Econometric Society - 2004
An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable of having significant negative effects on...
Persistent link: https://www.econbiz.de/10005063749
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Asset Prices and Exchange Rates
Rigobon, Roberto; Pavlova, Anna - Econometric Society - 2004
processes are independent, providing a theoretical argument in favor of financial markets contagion. The foreign exchange market …
Persistent link: https://www.econbiz.de/10005329015
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Contagion of Currency Crises across Unrelated Countries without Common Lender
Taketa, Kenshi - Econometric Society - 2004
currency crisis even in another unrelated country without capital linkage. Although the presence of contagion itself is not new …, it does not necessarily mean that it will never suffer contagion from some other country with better economic …
Persistent link: https://www.econbiz.de/10005342330
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A Large Speculator in Contagious Currency Crises
Taketa, Kenshi - Econometric Society - 2004
currency crisis. The model proposes a new contagion channel and shows how a currency crisis can spread from one country to … distinguish between whether a crisis is a coincidence or due to contagion when it happens in two countries. It finds that the … better the economic fundamentals in the originating crisis country, the more severe the contagion under certain conditions …
Persistent link: https://www.econbiz.de/10005342383
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On Synchronisation of Financial Crises
Lestano; Dungey, Mardi; Jacobs, Jan - Econometric Society - 2004
This paper develops concordance indices for studying the simultaneous occurrence of financial crises across markets and/or countries. The typically low incidence of financial crises necessitates a change in the definition of concordance from those recently developed for the business cycle...
Persistent link: https://www.econbiz.de/10005063619
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Empirical Modelling of Contagion: A Review of Methodologies
Martin, Vance L.; Gonzalez-Hermosillo, Brenda; Dungey, Mardi - Econometric Society - 2004
The existing literature promotes a number of alternative methods to test for the presence of contagion during financial …
Persistent link: https://www.econbiz.de/10005063666
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Granger Causality Among Pre-Crisis East Asian Exchange Rates
ALBA, Joseph D.; PARK, Donghyun - Econometric Society - 2004
We examine Granger causality among the exchange rates of eight East Asian economies prior to the Asian crisis. We adopt as our general model Engle and Gau’s (1997) “official band†model, and use daily bilateral US dollar exchange rate data during January 1991-July 1997. Our...
Persistent link: https://www.econbiz.de/10005063758