International financial contagion of the US sub-prime crisis: evidence through the adjusted correlation test and non-linear Error Correction Models (ECM)
In this essay, we test the presence of the contagion phenomenon during the US sub-prime crisis. We adopt the test of adjusted correlation coefficients between markets and propose a new procedure which involves testing the non-linearity of the propagation mechanisms shocks, estimated with a model of long-term interdependence. We apply this methodology to the financial markets which measure the risk perception. Our results conclude "some contagion, some interdependence" between the financial markets of USA, France, Germany, Japan and UK during the current crisis.
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): 4 (2011)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.inderscience.com/browse/index.php?journalID=218|
When requesting a correction, please mention this item's handle: RePEc:ids:ijmefi:v:4:y:2011:i:2:p:135-149. 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: (Darren Simpson)
If references are entirely missing, you can add them using this form.