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Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure

Author

Listed:
  • Riadh Aloui

    (LAREQUAD & FSEGT, University of Tunis El Manar)

  • Mohamed Safouane Ben Aissa

    (LAREQUAD & FSEGT, University of Tunis El Manar)

  • Khuong Nguyen Duc

    (Professor of Finance, ISC Paris School of Management 22 Boulevard du Fort de Vaux, 75848 Paris cedex 17, France)

Abstract

The paper examines the extent of the current global crisis and the contagion e¤ects it induces by conducting an empirical investigation of the extreme ?nancial interde-pendences of some selected emerging markets with the US. Several copula functions that provide the necessary ?exibility to capture the dynamic patterns of fat tail as well as linear and nonlinear interdependences are used to model the degree of cross-market linkages. Using daily return data from Brazil, Russia, India, China (BRIC markets) and the US, our empirical results show strong evidence of time-varying dependence between each of the BRIC markets and the US markets, but the dependency is stronger for commodity-price dependent markets than for ?nished-product export-oriented markets. We also observe high levels of dependence persistence for all market pairs during both bullish and bearish markets.

Suggested Citation

  • Riadh Aloui & Mohamed Safouane Ben Aissa & Khuong Nguyen Duc, 2010. "Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure," Working Papers 15, Development and Policies Research Center (DEPOCEN), Vietnam.
    • Handle: RePEc:dpc:wpaper:1510
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    More about this item

    Keywords

    Extreme comovements; copula approach; BRIC emerging markets; and global ?nancial crisis;
    All these keywords.

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G01 - Financial Economics - - General - - - Financial Crises
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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