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Transmission of Financial Crises and Contagion: A Latent Factor Approach

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Author Info

  • Dungey, Mardi

    (University of Tasmania)

  • Fry, Renee A.

    (Centre for Financial Analysis and Policy)

  • Gonzalez-Hermosillo, Brenda

    (International Monetary Fund)

  • Martin, Vance L.

    (University of Melbourne)

Abstract

Financial crises often transmit across geographical borders and different asset classes. Modelling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework encompasses a number of other empirical contagion models and why the results between the models differ. The book builds a framework which begins from considering contagion in the bond markets during 1997-1998 across a number of countries and culminates in a model which encompasses multiple assets across multiple countries through over a decade of crisis events from East Asia in 1997-1998 to the sub prime crisis during 2008. Program code to support implementation of similar models is available.

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Bibliographic Info

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This book is provided by Oxford University Press in its series OUP Catalogue with number 9780199739837 and published in 2011.

ISBN: 9780199739837
Order: http://ukcatalogue.oup.com/product/9780199739837.do
Handle: RePEc:oxp:obooks:9780199739837

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Web page: http://www.oup.com/

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Cited by:
  1. Fratzscher, Marcel, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," CEPR Discussion Papers 8496, C.E.P.R. Discussion Papers.
  2. Edda Zoli, 2013. "Italian Sovereign Spreads," IMF Working Papers 13/84, International Monetary Fund.
  3. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, School of Economics and Finance, revised 29 Aug 2012.
  4. Kristin J. Forbes & Francis E. Warnock, 2011. "Capital Flow Waves: Surges, Stops, Flight, and Retrenchment," NBER Working Papers 17351, National Bureau of Economic Research, Inc.

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