Emerging markets and financial crises: Regional, global or isolated shocks?
This paper investigates financial contagion of three emerging market crises of the late 1990s, as well as the subprime crisis of 2007, focusing on financial markets of emerging economies, USA and 2 global indices. Conventional cointegration and vector error correction analysis show long and short run dynamics only among emerging stock markets during the Russian and the Asian crises, for both stock and bond markets during the subprime crisis, while the Argentine turmoil has no impact on any of the examined markets. Further analysis into a multivariate time-varying asymmetric framework provides evidence on the global impact of the Russian default, the contagion effects of the subprime crisis, the regional aspect of the Asian crisis and the isolated nature of the Argentine turmoil. Moreover, stock markets seem to constitute a stronger transmission mechanism during the three contagious crises. Our findings have crucial implications for international investors, policy makers and multi-lateral organizations.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 22 (2012)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/locate/mulfin|
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.:
- Acharya, Viral V & Pedersen, Lasse Heje, 2004.
"Asset Pricing with Liquidity Risk,"
CEPR Discussion Papers
4718, C.E.P.R. Discussion Papers.
- Reinhart, Carmen & Kaminsky, Graciela & Vegh, Carlos, 2003.
"The unholy trinity of financial contagion,"
13878, University Library of Munich, Germany.
- Reinhart, Carmen & Kaminsky, Graciela & Vegh, Carlos, 2002. "Two Hundred Years of Contagion," MPRA Paper 13229, University Library of Munich, Germany.
- Graciela L. Kaminsky & Carmen Reinhart & Carlos A. Vegh, 2003. "The Unholy Trinity of Financial Contagion," NBER Working Papers 10061, National Bureau of Economic Research, Inc.
- Taimur Baig & Ilan Goldfajn, 1998.
"Financial Market Contagion in the Asian Crisis,"
IMF Working Papers
98/155, International Monetary Fund.
- Geert Bekaert & Campbell R. Harvey, 2003.
"Market Integration and Contagion,"
NBER Working Papers
9510, National Bureau of Economic Research, Inc.
- Riadh Aloui & Mohamed Safouane Ben Aissa & Khuong Nguyen Duc, 2010.
"Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure,"
15, Development and Policies Research Center (DEPOCEN), Vietnam.
- Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Nguyen, Duc Khuong, 2011. "Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 130-141, January.
- Boschi, Melisso, 2004.
"International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002,"
28546, University Library of Munich, Germany.
- Melisso Boschi, 2005. "International financial contagion: evidence from the Argentine crisis of 2001-2002," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 153-163.
- Glick, Reuven & Rose, Andrew K., 1999.
"Contagion and trade: Why are currency crises regional?,"
Journal of International Money and Finance,
Elsevier, vol. 18(4), pages 603-617, August.
- Reuven Glick & Andrew K. Rose, 1998. "Contagion and Trade: Why Are Currency Crises Regional?," NBER Working Papers 6806, National Bureau of Economic Research, Inc.
- Reuven Glick & Andrew K. Rose, 1998. "Contagion and trade: why are currency crises regional?," Pacific Basin Working Paper Series 98-03, Federal Reserve Bank of San Francisco.
- Glick, Reuven & Rose, Andrew K, 1998. "Contagion and Trade: Why are Currency Crises Regional," CEPR Discussion Papers 1947, C.E.P.R. Discussion Papers.
- Denis Pelletier, 2004.
"Regime Switching for Dynamic Correlations,"
Econometric Society 2004 North American Summer Meetings
230, Econometric Society.
- Corsetti, G. & Pesenti, P. & Roubini, N., 1998.
"What Caused the Asian Currency and Financial Crisis?,"
343, Banca Italia - Servizio di Studi.
- Corsetti, Giancarlo & Pesenti, Paolo & Roubini, Nouriel, 1999. "What caused the Asian currency and financial crisis?," Japan and the World Economy, Elsevier, vol. 11(3), pages 305-373, October.
- Giancarlo Corsetti & Paolo Pesenti & Nouriel Roubini, 1998. "What Caused the Asian Currency and Financial Crisis?," Temi di discussione (Economic working papers) 343, Bank of Italy, Economic Research and International Relations Area.
- Reinhart, Carmen & Calvo, Sara, 1996.
"Capital Flows to Latin America: Is There Evidence of Contagion Effects?”,"
7124, University Library of Munich, Germany.
- Carmen M. Reinhart & Sara Calvo, 1996. "Capital Flows to Latin America: Is There Evidence of Contagion Effects?," Peterson Institute Press: Chapters, in: Guillermo A. Calvo & Morris Goldstein & Eduard Hochreiter (ed.), Private Capital Flows to Emerging Markets After the Mexican Crisis, pages 151-171 Peterson Institute for International Economics.
- Calvo, Sara & Reinhart, Carmen, 1996. "Capital flows to Latin America : Is there evidence of contagion effects?," Policy Research Working Paper Series 1619, The World Bank.
- Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
- Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006.
"Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 4(4), pages 537-572.
- Sheppard, Kevin & Cappiello, Lorenzo & Engle, Robert F., 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 0204, European Central Bank.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Chiang, Thomas C. & Jeon, Bang Nam & Li, Huimin, 2007. "Dynamic correlation analysis of financial contagion: Evidence from Asian markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1206-1228, November.
- Okimoto, Tatsuyoshi, 2008. "New Evidence of Asymmetric Dependence Structures in International Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(03), pages 787-815, September.
- 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.
- King, Mervyn A & Wadhwani, Sushil, 1990.
"Transmission of Volatility between Stock Markets,"
Review of Financial Studies,
Society for Financial Studies, vol. 3(1), pages 5-33.
- Baur, Dirk, 2003. "Testing for contagion--mean and volatility contagion," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 405-422, December.
- Ratna Sahay & R. G Gelos, 2000.
"Financial Market Spillovers in Transition Economies,"
IMF Working Papers
00/71, International Monetary Fund.
- R. Gaston Gelos & Ratna Sahay, 2001. "Financial market spillovers in transition economies," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 9(1), pages 53-86, March.
- Kristin Forbes, 2000. "The Asian Flu and Russian Virus: Firm-level Evidence on How Crises are Transmitted Internationally," NBER Working Papers 7807, National Bureau of Economic Research, Inc.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Kristin Forbes & Roberto Rigobon, 1999.
"No Contagion, Only Interdependence: Measuring Stock Market Co-movements,"
NBER Working Papers
7267, National Bureau of Economic Research, Inc.
- Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
- Dooley, Michael & Hutchison, Michael, 2009.
"Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling-recoupling hypothesis,"
Journal of International Money and Finance,
Elsevier, vol. 28(8), pages 1331-1349, December.
- Michael P. Dooley & Michael M. Hutchison, 2009. "Transmission of the U.S. Subprime Crisis to Emerging Markets: Evidence on the Decoupling-Recoupling Hypothesis," NBER Working Papers 15120, National Bureau of Economic Research, Inc.
- Sheng, Hsiao-Ching & Tu, Anthony H., 2000. "A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 345-365, December.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance L., 2007. "Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 155-174, August.
- Kenourgios, Dimitris & Samitas, Aristeidis & Paltalidis, Nikos, 2011. "Financial crises and stock market contagion in a multivariate time-varying asymmetric framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 92-106, February.
When requesting a correction, please mention this item's handle: RePEc:eee:mulfin:v:22:y:2012:i:1:p:24-38. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.