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Pure Contagion and Investors' Shifting Risk Appetite: Analytical Issues and Empirical Evidence

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  • Kumar, Manmohan S
  • Persaud, Avinash

Abstract

This paper discusses a "pure" form of financial contagion, unrelated to economic fundamentals--investors' shifting appetite for risk. It provides an analytical framework for identifying changes in investors' risk appetite and discusses whether it is possible to directly measure them in a way that can enable policy makers to differentiate between financial contagion and domestic fundamentals as the immediate source of a crisis. Daily measures of risk appetite are computed and their usefulness in predicting financial crises is assessed. Copyright 2002 by Blackwell Publishers Ltd.

Suggested Citation

  • Kumar, Manmohan S & Persaud, Avinash, 2002. "Pure Contagion and Investors' Shifting Risk Appetite: Analytical Issues and Empirical Evidence," International Finance, Wiley Blackwell, vol. 5(3), pages 401-436, Winter.
    • Handle: RePEc:bla:intfin:v:5:y:2002:i:3:p:401-36
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