Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes

被引：42
|
作者：
Fry-McKibbin, Renee [1 ]
Hsiao, Cody Yu-Ling [1 ]
Tang, Chrismin [1 ]
机构：
[1] Australian Natl Univ, CAMA, Canberra, ACT, Australia
来源：
OPEN ECONOMIES REVIEW | 2014年 / 25卷 / 03期
基金：
澳大利亚研究理事会;
关键词：
Contagion testing; Correlation; Coskewness; Covolatility; Asian crisis; Russian crisis; LTCM crisis; Brazil crisis; Dot-com crisis; Argentinian crisis; Sub-prime crisis; Great recession; European debt crisis; Global financial crisis; SOVEREIGN RISK CONTAGION; VOLATILITY SPILLOVERS; EMERGING MARKETS; STOCK-MARKET; DEBT CRISIS; GLOBALIZATION; TRANSMISSION; EXPECTATIONS; CURRENCY; RETURNS;
D O I：
10.1007/s11079-013-9289-1
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Episodes of extraordinary turbulence in global financial markets are examined during nine crises ranging from the Asian crisis in 1997-98 to the recent European debt crisis of 2010-13. After dating each crisis using a regime switching model, the analysis focuses on changes in the dependence structures of equity markets through correlation, coskewness and covolatility to address a range of hypotheses regarding contagion transmission. The results show that the great recession is a true global financial crisis. Finance linkages are more likely to result in crisis transmission than trade and emerging market crises transmit unexpectedly, particularly to developed markets.
引用
收藏
页码：521 / 570
页数：50
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