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On crises, contagion, and confusion [PDF]
Since the Tequila crisis of 1994-95, the Asian flu of 1997, and the Russian virus of 1998, economists have been busy producing research on the subject of contagion.
Kaminsky, Graciela, Reinhart, Carmen
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Lecturas de Economía, 2011 A recently developed methodology, based on asymptotic dependence coefficients, is proposed to detect financial market contagion. The approach, while remaining within the theoretical limits of the problem, is robust when compared against common ...
Jorge Mario Uribe Gil
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Global Crises and Equity Market Contagion [PDF]
Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and ...
Arnaud J. Mehl +3 more
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Transfer of financial risk in emerging eastern European stock markets: A sectoral perspective [PDF]
With the rise of interconnected global financial systems, there is an increased risk that a financial crisis in one country may spread to others. The contagion effects of the 2008 global financial crisis hit advanced economies fast and hard while sparing
Fedorova, Elena
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FINANCIAL CONTAGION AND INVESTORS BEHAVIOR [PDF]
International capital markets, in general, seem to be volatile markets, influenced bymany factors, a phenomenon that affects both developed markets, as well as least developed, withemerging market economies suffering most because of this.
Dragos Mihai Ungureanu +3 more
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Financial Contagion and Attention Allocation [PDF]
This paper explains financial contagion between two independent stock markets by fluctuations in international investors' attention allocation. I model the process of attention allocation that underlies portfolio investment in international markets using
Jordi Mondria
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On the stability of domestic financial market linkages in the presence of time-varying volatility [PDF]
We analyze the stability of domestic financial linkages between periods of calm and turbulent market conditions. Our model develops a simultaneous test of shift contagion and bi-directional pure contagion, which is applied to the equity and currency ...
Deren Unalmis +2 more
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Testing for contagion in international financial markets: which way to go? [PDF]
This paper tests for the existence of contagion during the 1997/98 Asian crisis. We interpret contagion as a significant change in the way that country-specific shocks are transmitted across international financial markets.
Sébastien Wälti
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Political Crises and Risk of Financial Contagion in Developing Countries: Evidence from Africa [PDF]
The recent waves of political crises in Africa and the Middle East have inspired the debate over how political instability could pose a risk of financial contagion to emerging countries.
Simplice A., Asongu
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