On Synchronisation of Financial Crises
This paper develops concordance indices for studying the simultaneous occurrence of financial crises across markets and/or countries. The typically low incidence of financial crises necessitates a change in the definition of concordance from those recently developed for the business cycle literature (Harding and Pagan (2002,2003)). We propose to confine attention to non-tranquil periods and study the properties of the revised index. An application to East Asian countries reveals the extent of concordance in crises by both asset market and cou
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|Date of creation:||11 Aug 2004|
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- Mardi Dungey & Jan P.A.M. Jacobs & Lestano, 2005. "Synchronisation Of Financial Crises," CAMA Working Papers 2005-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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