newly-constructed measures of contagion shocks. These new measures capture well the contagion observed e.g. in the wake of … the Mexican and Asian crises, and confirm that contagion shocks observed in 2009/10 dwarfed those observed during previous … international financial integration are found to amplify contagion shocks and increase crisis risk, such as integration through …

existence of financial contagion during this crisis, defined as the international transmission of country-specific shocks beyond … the normal channels of financial interdependence. Since contagion relates purely to country-specific shocks, we combine … the standard contagion test of Favero and Giavazzi (2002) with a narrative approach to separate out global and euro area …

existence of financial contagion during this crisis, defined as the international transmission of country-specific shocks beyond … the normal channels of financial interdependence. Since contagion relates purely to country-specific shocks, we combine … the standard contagion test of Favero and Giavazzi (2002) with an innovative narrative approach to separate out global and …

In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global …-2009). In order to recognize the contagion effect, we test whether the mean of the DCC coefficients in crisis period differs … OECD stock markets under study during the crisis period for most of the countries. This proves the existence of contagion …

Against the backdrop of the contagion literature, the paper analyses the impact of financial and trade linkages on …. Second, the structure of international trade helps to account for the geographic scope of contagion, even after controlling …

In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global …-2009). In order to recognize the contagion effect, we test whether the mean of the DCC coefficients in crisis period differs … OECD stock markets under study during the crisis period for most of the countries. This proves the existence of contagion …

integration has been a major vector of contagion, and even more so when cross-border bank lending was primarily short …-term. Vulnerability to contagion has been lower when global liquidity has been abundant, underlining the importance of major central banks …, typically through their effects on the composition of the external financial account or on the vulnerability to contagion …