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The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

  • Essahbi Essaadi

    (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)

  • Jamel Jouini

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille II - Université Paul Cézanne - Aix-Marseille III - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - CNRS : UMR6579, Université 7 Novembre de Carthage - université 7 Novembre de Carthage)

  • Wajih Khallouli

    ()

    (Ecole Supérieure des Sciences Economiques et Commerciales de Tunis - Université de Tunis)

In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron's (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.

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Paper provided by HAL in its series Post-Print with number halshs-00404386.

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Date of creation: 2009
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Publication status: Published, Panoeconomicus, 2009, 56, 2, 241-260
Handle: RePEc:hal:journl:halshs-00404386
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