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The more contagion effect on emerging markets: The evidence of DCC-GARCH model

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  • Celık, Sibel

Abstract

The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during U.S. subprime crisis for most of the developed and emerging countries. Another finding is that emerging markets seem to be the most influenced by the contagion effects during U.S. subprime crisis. Since financial contagion is important for monetary policy, risk measurement, asset pricing and portfolio allocation, the findings of paper may be interest of policy makers, investors and portfolio managers.

Suggested Citation

  • Celık, Sibel, 2012. "The more contagion effect on emerging markets: The evidence of DCC-GARCH model," Economic Modelling, Elsevier, vol. 29(5), pages 1946-1959.
  • Handle: RePEc:eee:ecmode:v:29:y:2012:i:5:p:1946-1959
    DOI: 10.1016/j.econmod.2012.06.011
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    More about this item

    Keywords

    Contagion; DCC-GARCH; Financial crisis; Emerging markets;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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