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Le declenchement des crises de change : qu'avons-nous appris depuis dix ans ?
Cartapanis, Andre - In: Economie Internationale (2004) 97, pp. 5-48
Cet article est consacre aux principales lecons qui peuvent etre tirees de l'experience des annees quatre-vingt-dix et de la litterature theorique et empirique consacree au declenchement des crises de change. En reponse aux insuffisances des modeles de premiere et de deuxieme generation...
Persistent link: https://www.econbiz.de/10005406519
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Testing for “Contagion” of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach
Khallouli, Wajih; Sandretto, René - In: Journal of Economic Integration 27 (2012), pp. 134-166
existence of pure contagion (Masson, 1999) rather than shift-contagion (Rigobon, 2003). Then, we explicitly define financial … “contagion” in accordance with Eichengreen et al. (1996) and we extend the Cerra and Saxena (2002) methodology by using a Markov … subprime crisis. In addition, there is evidence of mean and volatility contagion in MENA stock markets caused by the US stock …
Persistent link: https://www.econbiz.de/10010991781
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Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries
Kim, Bong-Han; Kim, Hyeongwoo; Lee, Bong-Soo - Department of Economics, Auburn University - 2012
, which can be used to identify the channels of spillovers. We find some evidence of financial contagion around the collapse …
Persistent link: https://www.econbiz.de/10010862324
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Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries
Kim, Bong-Han; Kim, Hyeongwoo - Department of Economics, Auburn University - 2011
symptom of financial contagion around the collapse of Lehman Brothers in September 2008. There appears to be a regime shift to …
Persistent link: https://www.econbiz.de/10010862365
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Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries
Kim, Bong-Han; Kim, Hyeongwoo; Lee, Bong-Soo - Department of Economics, Auburn University - 2015
, which can be used to identify the channels of spillovers. We find some evidence of financial contagion around the collapse …
Persistent link: https://www.econbiz.de/10011169755
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Estimating time-varying currency betas with contagion: New evidence from developed and emerging financial markets
Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Japan and the World Economy 30 (2014) C, pp. 10-24
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 …
Persistent link: https://www.econbiz.de/10010906891
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Testing for nonlinearity of exchange rates: an information-theoretic approach
Zhang, Yuqin; Soofi, Abdol S.; Wang, Shouyang - In: Journal of Economic Studies 38 (2011) November, pp. 637-657
Purpose – This study seeks to explore the nature of a data-generating process for four dollar exchange rates. Design/methodology/approach – Using a discrete parametric modeling approach, an efficient test statistic was computed for nonlinearity in terms of variance of the residuals of the...
Persistent link: https://www.econbiz.de/10010814540
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Early warning for currency crises: what is the role of financial openness?
Frost, Jon; Saiki, Ayako - de Nederlandsche Bank - 2013
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 …
Persistent link: https://www.econbiz.de/10010757284
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The Role of Portfolio Constraints in the International Propagation of Shocks
Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2008
phenomenon known as contagion. The model generates predictions consistent with other important empirical results such as …
Persistent link: https://www.econbiz.de/10005791401
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Systemic Risk and International Portfolio Choice
Das, Sanjiv Ranjan; Uppal, Raman - C.E.P.R. Discussion Papers - 2002
Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to...
Persistent link: https://www.econbiz.de/10005504252