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Testing for Contagion in International Financial Markets: Which Way to Go?
WÄLTI, Sébastien - Swiss Finance Institute - 2003
This paper tests for the existence of contagion during the 1997/98 Asian crisis. We interpret contagion as a …-information framework of Favero and Giavazzi (2002) we find that the null hypothesis of no contagion is widely rejected. We also uncover …
Persistent link: https://www.econbiz.de/10005248404
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Bull or bear markets : a wavelet dynamic correlation perspective
Benhmad, François - In: Economic modelling 32 (2013), pp. 576-591
Persistent link: https://www.econbiz.de/10009762016
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A Markov regime switching model of crises and contagion: The case of the Iberian countries in the EMS
Lopes, José Mário; Nunes, Luis C. - In: Journal of Macroeconomics 34 (2012) 4, pp. 1141-1153
We develop a general econometric model of currency crises and contagion that integrates a number of important features … find strong evidence of contagion, mostly from the Spanish peseta to the Portuguese escudo, and to some extent from the …
Persistent link: https://www.econbiz.de/10011065314
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The 2008 financial crisis: Stock market contagion and its determinants
Luchtenberg, Kimberly F.; Vu, Quang Viet - In: Research in International Business and Finance 33 (2015) C, pp. 178-203
In this paper, we investigate worldwide contagion and its determinants during the 2008 financial crisis. Utilizing an … international sample of returns from 2003 to 2009, we consider both uni- and bi-directional contagion. After controlling for crisis … crises, contagion following the 2008 global financial crisis is not confined to emerging markets. The United States and other …
Persistent link: https://www.econbiz.de/10011116374
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Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies
Apostolou, Apostolos; Beirne, John - 2017
This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED) and European Central Bank (ECB) to emerging market economies (EMEs) from 2003 to 2014. We find that EME bond markets are most susceptible to positive volatility spillovers from...
Persistent link: https://www.econbiz.de/10011667194
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Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies
Apostolou, Apostolos; Beirne, John - 2017
This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED) and European Central Bank (ECB) to emerging market economies (EMEs) from 2003 to 2014. We find that EME bond markets are most susceptible to positive volatility spillovers from...
Persistent link: https://www.econbiz.de/10011636172
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Sudden stops and currency crises
Efremidze, Levan; Schreyer, Samuel M.; Sula, Ozan - In: Journal of Financial Economic Policy 3 (2011) November, pp. 304-321
Purpose – The purpose of this paper is to examine empirical characteristics of two commonly mentioned expressions of international financial crisis, “sudden stops” and currency crises. Design/methodology/approach – Sudden stop and currency crisis events are identified and empirical...
Persistent link: https://www.econbiz.de/10010611023
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The Euro and European Financial Market Integration
Bartram, Söehnke; Taylor, Stephen; Wang, Yaw-Huei - Money Macro and Finance Research Group - 2004
We use a time-varying copula model to investigate the impact of the introduction of the Euro on the dependence between seventeen European stock markets during the period 1994-2003. The model is implemented with a GJR-GARCH-t model for the marginal distributions and the Gaussian copula for the...
Persistent link: https://www.econbiz.de/10004971164
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On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness
Diebold, Francis X.; Yılmaz, Kamil - 2022
We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.
Persistent link: https://www.econbiz.de/10014540961
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On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness
Diebold, Francis X.; Yılmaz, Kamil - 2022
We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.
Persistent link: https://www.econbiz.de/10013463897