Shift Contagion in Asset Markets
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1996.
"Contagious Currency Crises,"
NBER Working Papers
5681, National Bureau of Economic Research, Inc.
- Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1996. "Contagious Currency Crises," CEPR Discussion Papers 1453, C.E.P.R. Discussion Papers.
- Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "Assessing financial vulnerability, an early warning system for emerging markets: Introduction," MPRA Paper 13629, University Library of Munich, Germany.
- Hernandez, Leonardo F. & Valdes, Rodrigo O., 2001.
"What drives contagion: Trade, neighborhood, or financial links?,"
International Review of Financial Analysis, Elsevier, vol. 10(3), pages 203-218.
- Mr. Rodrigo O. Valdes & Mr. Leonardo Hernández, 2001. "What Drives Contagion: Trade Neighborhood, or Financial Links?," IMF Working Papers 2001/029, International Monetary Fund.
- Hansen, Bruce E, 1996.
"Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis,"
Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.
- Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
- Michael D. Bordo & Antu P. Murshid, 2000. "Are Financial Crises Becoming Increasingly More Contagious? What is the Historical Evidence on Contagion?," NBER Working Papers 7900, National Bureau of Economic Research, Inc.
- Roberto Rigobon, 1999. "On the Measurement of the International Propagation of Shocks," NBER Working Papers 7354, National Bureau of Economic Research, Inc.
- Francois Chesnay & Eric Jondeau, 2001.
"Does Correlation Between Stock Returns Really Increase During Turbulent Periods?,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(1), pages 53-80, February.
- Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers 73, Banque de France.
- Morris Goldstein & Graciela Kaminsky & Carmen Reinhart, 2017.
"Methodology and Empirical Results,"
World Scientific Book Chapters, in: TRADE CURRENCIES AND FINANCE, chapter 11, pages 397-436,
World Scientific Publishing Co. Pte. Ltd..
- Morris Goldstein & Carmen M. Reinhart, 2000. "Assessing Financial Vulnerability: An Early Warning System for Emerging Markets," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 100, October.
- Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "Early Warning System: Empirical Results from The Signals Approach," MPRA Paper 24577, University Library of Munich, Germany.
- Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "Rating the Rating Agencies," MPRA Paper 24578, University Library of Munich, Germany.
- Reinhart, Carmen & Kaminsky, Graciela & Goldstein, Morris, 2000. "Notes on contagion," MPRA Paper 24569, University Library of Munich, Germany.
- Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "Early Warning System: An Assessment of Vulnerability," MPRA Paper 24579, University Library of Munich, Germany.
- Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "Methodology for an Early Warning System: The Signals Approach," MPRA Paper 24576, University Library of Munich, Germany.
- Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "Some Policy Issues Regarding an Early Warning System," MPRA Paper 24580, University Library of Munich, Germany.
- Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "The Wake of Crises and Devaluations," MPRA Paper 24570, University Library of Munich, Germany.
- Garcia, Rene, 1998.
"Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-788, August.
- René Garcia, 1995. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," CIRANO Working Papers 95s-07, CIRANO.
- Giavazzi, Francesco & Favero, Carlo A., 2000.
"Looking for Contagion: the Evidence from the ERM,"
CEPR Discussion Papers
2591, C.E.P.R. Discussion Papers.
- Carlo A. Favero & Francesco Giavazzi, 2000. "Looking for Contagion: Evidence from the ERM," NBER Working Papers 7797, National Bureau of Economic Research, Inc.
- King, Mervyn A & Wadhwani, Sushil, 1990.
"Transmission of Volatility between Stock Markets,"
Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
- Mervyn A. King & Sushil Wadhwani, 1989. "Transmission of Volatility Between Stock Markets," NBER Working Papers 2910, National Bureau of Economic Research, Inc.
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
- World Bank, 2000. "Global Economic Prospects and the Developing Countries 2000," World Bank Publications - Books, The World Bank Group, number 14776, December.
- Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
- Roberto Rigobon, 2000. "Identification through Heteroskedasticity: Measuring "Contagion: betweenArgentinean and Mexican Sovereign Bonds," NBER Working Papers 7493, National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Mr. Alessandro Rebucci & Mr. Matteo Ciccarelli, 2003.
"Measuring Contagion with a Bayesian Time-Varying Coefficient Model,"
IMF Working Papers
2003/171, International Monetary Fund.
- Alessandro Rebucci, 2003. "Measuring Contagion With A Bayesian Time-Varying Coefficient Model," Working Papers. Serie AD 2003-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ciccarelli, Matteo & Rebucci, Alessandro, 2003. "Measuring contagion with a Bayesian, time-varying coefficient model," Working Paper Series 263, European Central Bank.
- John Beirne & Jana Gieck, 2014.
"Interdependence and Contagion in Global Asset Markets,"
Review of International Economics, Wiley Blackwell, vol. 22(4), pages 639-659, September.
- Beirne, John & Gieck, Jana, 2012. "Interdependence and contagion in global asset markets," Working Paper Series 1480, European Central Bank.
- Egorov, Aleksei V. (Егоров, Алексей В.) & Borzykh, Olga A. (Борзых, Ольга А.), 2018. "Asymmetric Interest Rate Pass-Through in Russia [Асимметрия Процентного Канала Денежной Трансмиссии В России]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 92-121, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Roberto Rigobon, 2002.
"Contagion: How to Measure It?,"
NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 269-334,
National Bureau of Economic Research, Inc.
- Roberto Rigobon, 2001. "Contagion: How to Measure It?," NBER Working Papers 8118, National Bureau of Economic Research, Inc.
- Marcel Fratzscher, 2003.
"On currency crises and contagion,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(2), pages 109-129.
- Marcel Fratzscher, 2000. "On Currency Crises and Contagion," Working Paper Series WP00-9, Peterson Institute for International Economics.
- Fratzscher, Marcel, 2002. "On currency crises and contagion," Working Paper Series 139, European Central Bank.
- Cuadro-Sáez, Lucía & Fratzscher, Marcel & Thimann, Christian, 2009.
"The transmission of emerging market shocks to global equity markets,"
Journal of Empirical Finance, Elsevier, vol. 16(1), pages 2-17, January.
- Thimann, Christian & Fratzscher, Marcel & Cuadro Sáez, Lucía, 2007. "The transmission of emerging market shocks to global equity markets," Working Paper Series 724, European Central Bank.
- Lucía Cuadro Sáez & Marcel Fratzscher & Christian Thimann, 2007. "The transmission of emerging market shocks to global equity markets," Working Papers 0727, Banco de España.
- Matteo Cominetta, 2016. "Financial Contagion: A New Perspective (and a New Test)," Working Papers 12, European Stability Mechanism.
- Gravelle, Toni & Kichian, Maral & Morley, James, 2006.
"Detecting shift-contagion in currency and bond markets,"
Journal of International Economics, Elsevier, vol. 68(2), pages 409-423, March.
- Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002 58, Society for Computational Economics.
- Ms. Renee Fry & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo & Mr. Mardi Dungey, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 2002/074, International Monetary Fund.
- Sebastian Edwards, 2000. "Contagion," The World Economy, Wiley Blackwell, vol. 23(7), pages 873-900, July.
- Lizarazo, Sandra Valentina, 2013.
"Default risk and risk averse international investors,"
Journal of International Economics, Elsevier, vol. 89(2), pages 317-330.
- Sandra Lizarazo, 2009. "Default Risk and Risk Averse International Investors," Working Papers 0907, Centro de Investigacion Economica, ITAM.
- Lizarazo, Sandra, 2010. "Default Risk and Risk Averse International Investors," MPRA Paper 20794, University Library of Munich, Germany.
- Hon, Mark T. & Strauss, Jack K. & Yong, Soo-Keong, 2007. "Deconstructing the Nasdaq bubble: A look at contagion across international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 213-230, July.
- Wong, Jim & Wong, Tak-Chuen & Leung, Phyllis, 2010. "Predicting banking distress in the EMEAP economies," Journal of Financial Stability, Elsevier, vol. 6(3), pages 169-179, September.
- Purba Mukerji, 2018. "Vulnerability to spillovers," Empirical Economics, Springer, vol. 55(1), pages 323-348, August.
- Fazio, Giorgio, 2007. "Extreme interdependence and extreme contagion between emerging markets," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1261-1291, December.
- Francois Chesnay & Eric Jondeau, 2001.
"Does Correlation Between Stock Returns Really Increase During Turbulent Periods?,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(1), pages 53-80, February.
- Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers 73, Banque de France.
- Mr. Abdul d Abiad, 2003. "Early Warning Systems: A Survey and a Regime-Switching Approach," IMF Working Papers 2003/032, International Monetary Fund.
- Andres Kuusk & Tiiu Paas, 2010. "Contagion Of Financial Crises With Special Emphasis On Cee Economies: A Metaanalysis," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 66, Faculty of Economics and Business Administration, University of Tartu (Estonia).
- Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
- Margarida Abreu, 2003. "Contagion Phenomena in Financial Crises: Evidence from the Portuguese and Spanish Exchange Rate Crises in the Early Nineties," Working Papers Department of Economics 2003/05, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Roberta De Santis, 2004. "Has Trade Structure Any Importance in the Trasmission of Currency Shocks? An Empirical Application for Central and Eastern European Acceding Countries to Eu," ISAE Working Papers 43, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
- Radovan Vadovic, 2009. "Early, Late, and Multiple Bidding in Internet Auctions," Working Papers 0904, Centro de Investigacion Economica, ITAM.
More about this item
Keywords
Financial markets; Econometric and statistical methods;JEL classification:
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2003-04-21 (Corporate Finance)
- NEP-FMK-2003-04-21 (Financial Markets)
- NEP-IFN-2003-04-21 (International Finance)
- NEP-MAC-2003-04-21 (Macroeconomics)
- NEP-RMG-2003-04-21 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bca:bocawp:03-5. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bocgvca.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.