Actually This Time Is Different
Episodes of extraordinary turbulence in global financial markets are examined during eight crises ranging from Asia in 1997-98 to the recent great recession of 2008-10. The analysis focuses on changes in the dependence structures of equity markets through correlation and coskewness to answer the question of whether the great recession is different to other crises in terms of shock transmission through contagion. The results show that ‘this time is different’ and that the great recession is truly a global financial crisis. Other US sourced crises do not affect other markets through contagion, and emerging market crises transmit unexpectedly.
|Date of creation:||Jun 2011|
|Date of revision:|
|Contact details of provider:|| Postal: Crawford Building, Lennox Crossing, Building #132, Canberra ACT 2601|
Phone: +61 2 6125 4705
Fax: +61 2 6125 5448
Web page: http://cama.crawford.anu.edu.au
More information through EDIRC
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.:
- 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.
- Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.).
- Paulo Horta & Carlos Mendes & Isabel Vieira, 2009.
"Contagion Effects of the Subprime Crisis in the European Nyse-Euronext Markets,"
CEFAGE-UE Working Papers
2009_01, University of Evora, CEFAGE-UE (Portugal).
- Paulo Horta & Carlos Mendes & Isabel Vieira, 2010. "Contagion effects of the subprime crisis in the European NYSE Euronext markets," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 9(2), pages 115-140, August.
- Reinhart, Carmen, 2009.
"The Second Great Contraction,"
21485, University Library of Munich, Germany.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "Varieties of Crises and Their Dates," Introductory Chapters, in: This Time Is Different: Eight Centuries of Financial Folly Princeton University Press.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "This Time Is Different: Eight Centuries of Financial Folly," Economics Books, Princeton University Press, edition 1, number 8973, 01-2013.
- Kristin J. Forbes, 2002.
"Are Trade Linkages Important Determinants of Country Vulnerability to Crises?,"
in: Preventing Currency Crises in Emerging Markets, pages 77-132
National Bureau of Economic Research, Inc.
- Kristin J. Forbes, 2001. "Are Trade Linkages Important Determinants of Country Vulnerability to Crises?," NBER Working Papers 8194, National Bureau of Economic Research, Inc.
- Reinhart, Carmen & Reinhart, Vincent, 2008. "Is the US too big to fail?," MPRA Paper 12976, University Library of Munich, Germany.
- Elvira Sojli, 2007. "Contagion in emerging markets: the Russian crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 197-213.
- Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005.
"Testing for contagion: a conditional correlation analysis,"
Journal of Empirical Finance,
Elsevier, vol. 12(3), pages 476-489, June.
- gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance 0406003, EconWPA.
- Baur, Dirk G. & Fry, Renée A., 2009. "Multivariate contagion and interdependence," Journal of Asian Economics, Elsevier, vol. 20(4), pages 353-366, September.
- Mardi Dungey & Renée Fry & Vance L. Martin, 2006. "Correlation, Contagion, and Asian Evidence," Asian Economic Papers, MIT Press, vol. 5(2), pages 32-72, June.
- Essahbi Essaadi & Jamel Jouini & Walih Khallouli, 2007.
"The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis,"
0725, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
- Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2009. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(2), pages 241-260, June.
- Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2009. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print halshs-00404386, HAL.
- Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2004. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print halshs-00201220, HAL.
- Graciela L. Kaminsky & Carmen M. Reinhart & Carlos A. Végh, 2003.
"The Unholy Trinity of Financial Contagion,"
Journal of Economic Perspectives,
American Economic Association, vol. 17(4), pages 51-74, Fall.
- 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.
- Reinhart, Carmen & Kaminsky, Graciela & Vegh, Carlos, 2003. "The unholy trinity of financial contagion," MPRA Paper 13878, University Library of Munich, Germany.
- Kabir, M. Humayun & Hassan, M. Kabir, 2005. "The near-collapse of LTCM, US financial stock returns, and the fed," Journal of Banking & Finance, Elsevier, vol. 29(2), pages 441-460, February.
- Saleem, Kashif, 2008. "International linkage of the Russian market and the Russian financial crisis : a multivariate GARCH analysis," BOFIT Discussion Papers 8/2008, Bank of Finland, Institute for Economies in Transition.
- Reinhart, Carmen & Kaminsky, Graciela, 2008.
"The center and the periphery: The globalization of financial turmoil,"
14100, University Library of Munich, Germany.
- Graciela L. Kaminsky & Carmen Reinhart, 2003. "The Center and the Periphery: The Globalization of Financial Turmoil," NBER Working Papers 9479, National Bureau of Economic Research, Inc.
- Carmen M. Reinhart, 2010. "This Time is Different Chartbook: Country Histories on Debt, Default, and Financial Crises," NBER Working Papers 15815, National Bureau of Economic Research, Inc.
- 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.
- Serwa, Dobromil & Bohl, Martin T., 2005. "Financial contagion vulnerability and resistance: A comparison of European stock markets," Economic Systems, Elsevier, vol. 29(3), pages 344-362, September.
- MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008.
"Are Financial Crises Alike?,"
CAMA Working Papers
2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Cifarelli, Giulio & Paladino, Giovanna, 2004. "The impact of the Argentine default on volatility co-movements in emerging bond markets," Emerging Markets Review, Elsevier, vol. 5(4), pages 427-446, December.
- Billio, Monica & Pelizzon, Loriana, 2003. "Contagion and interdependence in stock markets: Have they been misdiagnosed?," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 405-426.
- Baur, Dirk, 2003. "Testing for contagion--mean and volatility contagion," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 405-422, December.
When requesting a correction, please mention this item's handle: RePEc:een:camaaa:2011-12. 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: (Cama Admin)
If references are entirely missing, you can add them using this form.