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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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Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : A Markov Switching EGARCH approach
Khallouli, Wajih; Sandretto, Modibo René - Groupe d'Analyse et de Théorie Économique Lyon … - 2010
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/10008676577
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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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Carry Trades: Betting Against Safe Haven
Kohler, Daniel - School of Economics and Political Science, Universität … - 2007
We examine contagion and flight-to-quality phenomena implied by carry strategies. More specifically, we analyze …
Persistent link: https://www.econbiz.de/10005797697
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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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The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests
Aggarwal, Raj; Lucey, Brian M.; Mohanty, Sunil K. - Institute for International Integration Studies (IIIS), … - 2006
An important puzzle in international finance is the failure of the forward exchange rate to be a rational forecast of the future spot rate. It has often been suggested that this puzzle may be resolved by using better statistical procedures that correct for both non-stationarity and nonnormality...
Persistent link: https://www.econbiz.de/10005157532
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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