introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …

propagated abroad. In previous work, we built on the theory of rational bubbles to develop a framework to think about the origins … in this world. The interest-rate and terms-of-trade spillovers produce policy externalities that make the noncooperative …

measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market … consideration, so that during a period of turmoil when stock market volatility increases, standard estimates of cross … remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

We propose a unified model of limited market integration, asset-price determination, leveraging, and contagion … contagion, in that an adverse shock to investors at a subset of locations affects prices everywhere …

chain reaction in other countries -- which we call fast and furious contagion. Yet, on other occasions, similar events have … failed to trigger any immediate international reaction. We argue that fast and furious contagion episodes are characterized …

large asset price spillovers of country-specific shocks to bank capital. The impact of these shocks on asset prices are …

volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …