currency crises. We address three interrelated questions: (i) How can we best capture contagion; (ii) Is the contagion of … measure, we test for contagion and conclude that contagion only exists regionally. Furthermore, we construct a â …€œcross-market rebalancing variable based on the regional CPJF. By employing a probit model to compare our new variable with a regular contagion …

industry level. We develop a novel bivariate GARCH model for equity returns with a smoothly time-varying correlation and then …

Simultaneous bank defaults are often attributed to interbank contagion, but can also be due to common shocks affecting …, we find no evidence for such an effect. This finding suggests that contagion risk has been overestimated, which has …

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 …