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The Uncertainty Channel of Contagion
Kannan, Prakash; Köhler-Geib, Fritzi - International Monetary Fund (IMF) - 2009
in the contagion phenomenon. Not all crises, however, are contagious. This paper models a new channel of contagion where … the degree of anticipation of crises, through its impact on investor uncertainty, determines the occurrence of contagion … is empirically shown to have an independent effect beyond other contagion channels. …
Persistent link: https://www.econbiz.de/10008559279
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Global financial crisis and emerging stock market contagion : a multivariate FIAPARCH–DCC approach
Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - In: International review of financial analysis 30 (2013), pp. 46-56
Persistent link: https://www.econbiz.de/10010460000
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The dynamics of the relative global sector effects and contagion in emerging markets equity returns
Boamah, Nicholas Addai - In: Research in international business and finance 39 (2017), pp. 433-453
Persistent link: https://www.econbiz.de/10011876559
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Comparing Parametric and Non-parametric Early Warning Systems for Currency Crises in Emerging Market Economies
Comelli, Fabio - International Monetary Fund (IMF) - 2013
The purpose of this paper is to compare in-sample and out-of-sample performances of three parametric and non-parametric early warning systems (EWS) for currency crises in emerging market economies (EMs). The parametric EWS achieves superior out-of-sample results compared to the non-parametric...
Persistent link: https://www.econbiz.de/10010790354
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Managing Confidence in Emerging Market Bank Runs
Mody, Ashoka; Kim, Se-Jik - International Monetary Fund (IMF) - 2004
distressed banks create contagion. …
Persistent link: https://www.econbiz.de/10005263784
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Managing Financial Crises; The Experience in East Asia
Lane, Timothy D.; Hamann, A. Javier; Schulze-Gattas, … - International Monetary Fund (IMF) - 2000
The Asian financial crisis of 1997-98 was one of the most dramatic economic events of recent times, which raised many questions regarding the appropriate policy response to financial crises. This paper reviews the experience of this crisis, focusing on the overall strategy of crisis management...
Persistent link: https://www.econbiz.de/10005263845
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The Fall of Bretton Woods: Which Geography Matters?
Ali, Leila; Lebreton, Marie - In: Economics Bulletin 33 (2013) 2, pp. 1396-1419
This paper analyses the spatial diffusion of the speculative attacks during the fall of the Bretton Woods System. First, we study the spatial heterogeneity of the relationship between speculative pressures and their determinants via a locally linear framework. Here, relationships were assumed to...
Persistent link: https://www.econbiz.de/10010835826
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Empirical Modeling of Contagion; A Review of Methodologies
Dungey, Mardi; Fry, Renee; Martin, Vance; … - International Monetary Fund (IMF) - 2004
The existing literature suggests a number of alternative methods to test for the presence of contagion during financial …
Persistent link: https://www.econbiz.de/10005825971
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Cross-Country Empirical Studies of Systemic Bank Distress: A Survey
Demirgüç-Kunt, Asli; Detragiache, Enrica - International Monetary Fund (IMF) - 2005
A rapidly growing empirical literature is studying the causes and consequences of bank fragility in present-day economies. The paper reviews the two basic methodologies adopted in cross-country empirical studies-the signals approach and the multivariate probability model-and their application to...
Persistent link: https://www.econbiz.de/10005826068
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Assessing Early Warning Systems; How Have they Worked in Practice?
Berg, Andrew; Borensztein, Eduardo; Pattillo, Catherine A. - International Monetary Fund (IMF) - 2004
Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private...
Persistent link: https://www.econbiz.de/10005768990