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The transmission process of financial crises across the emerging markets: an alternative consideration

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  • Abdurrahman, Korkmaz

Abstract

This paper offers an alternative consideration for the transmission process of financial crises across emerging markets. Here, we hypothesized that the interdependence effect could weaken, even disappear completely, and veer during a crisis period as a result of the contagion process. The importance of this hypothesis for the policy implication is also highlighted because it can be validated for many cases by our data.

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File URL: http://mpra.ub.uni-muenchen.de/37421/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 37421.

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Date of creation: 17 Mar 2012
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Handle: RePEc:pra:mprapa:37421

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Keywords: contagion; interdependence; outlier test; financial crisis;

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  1. Hashem Pesaran & Andreas Pick, 2004. "Econometric Issues in the Analysis of Contagion," Money Macro and Finance (MMF) Research Group Conference 2004 67, Money Macro and Finance Research Group.
  2. Dhrymes, Phoebus J, 1973. "Small Sample and Asymptotic Relations Between Maximum Likelihood and Three Stage Least Squares Estimators," Econometrica, Econometric Society, vol. 41(2), pages 357-64, March.
  3. Dornbusch, Rudiger & Park, Yung Chul & Claessens, Stijn, 2000. "Contagion: Understanding How It Spreads," World Bank Research Observer, World Bank Group, vol. 15(2), pages 177-97, August.
  4. Amemiya, Takeshi, 1977. "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model," Econometrica, Econometric Society, vol. 45(4), pages 955-68, May.
  5. Hausman, Jerry A, 1975. "An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models," Econometrica, Econometric Society, vol. 43(4), pages 727-38, July.
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