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An empirical study to identify shift contagion during the Asian crisis

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  • Marais, Elise
  • Bates, Samuel

Abstract

The paper is an empirical study on contagion during the 1997–1998 Asian crisis. In line with Sander and Kleimeier [Sander, H., Kleimeier, S., 2003. Contagion and causality: an empirical investigation of four Asian crisis episodes. International Financial Markets, Institution and Money 13, 171–186], Granger causality among Asian economies on sovereign debt market is tested. Using a new measure of causality, we attempt to show the existence of shift contagion defined as significant differences in cross-markets links between tranquil and crisis periods. Firstly, non-existent links during the tranquil period play a key role during the crisis. Secondly, causality directions give evidence of the major influence of the South Korean crisis which seems to prevail on investors to reassess the whole region.

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Bibliographic Info

Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/272.

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Date of creation: Dec 2006
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Publication status: Published in Journal of International Financial Markets, Institutions and Money, 2006, Vol. 16, no. 5
Handle: RePEc:dau:papers:123456789/272

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Keywords: Granger causality; Shift Contagion;

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Cited by:
  1. Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2009. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print, HAL halshs-00404386, HAL.
  2. Bates, Samuel & Vaugirard, Victor, 2009. "Monetary Transmission Channels around the Subprime Crisis : The US Experience," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/1483, Paris Dauphine University.

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