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The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

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Author Info
Essahbi Essaadi (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)
Jamel Jouini (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille II - Université Paul Cézanne - Aix-Marseille III - Ecole des Hautes Etudes en Sciences Sociales - CNRS : UMR6579, Université 7 Novembre de Carthage - université 7 Novembre de Carthage)
Wajih Khallouli (Université de Tunis - Université de Tunis)

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Abstract

In this paper, we are interested in testing for contagion caused by the Thai bath collapse in July 1997. In line with earlier work, shift-contagion is defined as a structural change in the international propagation mechanisms of financial shocks. We adopt the Bai and Perron’s (1998) structural break approach to detect the endogenous break points in the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach allows solving the misspecification problem of crisis window. Our results indicate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.

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Paper provided by HAL in its series Post-Print with number halshs-00201220_v1.

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Date of creation: Oct 2004
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Handle: RePEc:hal:journl:halshs-00201220_v1

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Related research
Keywords: sequential selection procedure ; shift-contagion ; time-varying correlation;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Favero, Carlo A. & Giavazzi, Francesco, 2002. "Is the international propagation of financial shocks non-linear?: Evidence from the ERM," Journal of International Economics, Elsevier, vol. 57(1), pages 231-246, June. [Downloadable!] (restricted)
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  7. Bonfiglioli, Alessandra & Favero, Carlo A., 2005. "Explaining co-movements between stock markets: The case of US and Germany," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1299-1316, December. [Downloadable!] (restricted)
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  13. Taimur Baig & Ilan Goldfajn, 1998. "Financial Market Contagion in the Asian Crisis," IMF Working Papers 98/155, International Monetary Fund.
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  16. Billio, Monica & Pelizzon, Loriana, 2003. "Contagion and interdependence in stock markets: Have they been misdiagnosed?," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 405-426. [Downloadable!] (restricted)
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  23. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22. [Downloadable!]
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  24. Corsetti, Giancarlo & Dedola, Luca & Leduc, Sylvain, 2008. "High exchange-rate volatility and low pass-through," Journal of Monetary Economics, Elsevier, vol. 55(6), pages 1113-1128, September. [Downloadable!] (restricted)
  25. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
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  26. Mohamed Ayadi & Riadh Boudhina & Wajih Khallouli & Rene Sandretto, 2006. "La contagion de la crise asiatique : dynamiques de court terme et de long terme," Economie Internationale, CEPII research center, issue 1Q, pages 113-134. [Downloadable!]
  27. Gerlach, Stefan & Smets, Frank, 1995. "Contagious speculative attacks," European Journal of Political Economy, Elsevier, vol. 11(1), pages 45-63, March. [Downloadable!] (restricted)
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  28. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Essahbi Essaadi & Mohamed Boutahar, 2008. "A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach," Post-Print halshs-00333582_v1, HAL. [Downloadable!]
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