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The transmission process of financial crises across the emerging markets: an alternative consideration

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  • Abdurrahman, Korkmaz

Abstract

This paper offers an alternative consideration for the transmission process of financial crises across emerging markets. Here, we hypothesized that the interdependence effect could weaken, even disappear completely, and veer during a crisis period as a result of the contagion process. The importance of this hypothesis for the policy implication is also highlighted because it can be validated for many cases by our data.

Suggested Citation

  • Abdurrahman, Korkmaz, 2012. "The transmission process of financial crises across the emerging markets: an alternative consideration," MPRA Paper 37421, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:37421
    as

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    File URL: https://mpra.ub.uni-muenchen.de/37421/1/MPRA_paper_37421.pdf
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    References listed on IDEAS

    as
    1. Pesaran, M. Hashem & Pick, Andreas, 2007. "Econometric issues in the analysis of contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1245-1277, April.
    2. Favero, Carlo A. & Giavazzi, Francesco, 2002. "Is the international propagation of financial shocks non-linear?: Evidence from the ERM," Journal of International Economics, Elsevier, vol. 57(1), pages 231-246, June.
    3. Dhrymes, Phoebus J, 1973. "Small Sample and Asymptotic Relations Between Maximum Likelihood and Three Stage Least Squares Estimators," Econometrica, Econometric Society, vol. 41(2), pages 357-364, March.
    4. Dornbusch, Rudiger & Park, Yung Chul & Claessens, Stijn, 2000. "Contagion: Understanding How It Spreads," World Bank Research Observer, World Bank Group, vol. 15(2), pages 177-197, August.
    5. Amemiya, Takeshi, 1977. "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model," Econometrica, Econometric Society, vol. 45(4), pages 955-968, May.
    6. Hausman, Jerry A, 1975. "An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models," Econometrica, Econometric Society, vol. 43(4), pages 727-738, July.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    contagion; interdependence; outlier test; financial crisis;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G01 - Financial Economics - - General - - - Financial Crises

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