Download or read book International Financial Contagion written by Stijn Claessens and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.
Download or read book Testing for Financial Contagion with Applications to the Canadian Banking System written by Fuchun Li and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Some Contagion Some Interdependence written by Giancarlo Corsetti and published by . This book was released on 2002 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Financial Contagion written by Lei Ming Chrismin Tang and published by . This book was released on 2007 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Tests for Identifying Financial Contagion written by Deeya Sewraj and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Test for Financial Contagion written by Kwang-Il Choe and published by . This book was released on 2003 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Approaches of Testing for Financial Market Crisis and Contagion written by Yu-Ling Cody Hsiao and published by . This book was released on 2014 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of four chapters that focus on the development of new statistical frameworks or tests of financial market crisis and contagion. A new test for financial market contagion based on changes in the fourth order co-moments is proposed in chapter 2 to identify the propagation mechanism of shocks across international financial markets. The proposed approach captures changes in various aspects of the asset return relationships such as cross-market mean and skewness (co-kurtosis) as well as cross-market volatilities (co-volatility). In an empirical application involving the global financial crisis of 2008-09, the results show that significant contagion effects are widespread from the US banking sector to global equity markets and banking sectors through either the co-kurtosis or the co-volatility channel. Chapter 3 analyses nine financial crises from Asia in 1997-98 to the recent European debt crisis of 2010-13 to answer the question of whether the great recession is different to other crises in terms of a range of hypotheses regarding contagion transmission. This chapter examines financial contagion with a focus on the correlation and co-skewness change tests, and the proposed co-volatility change test in chapter 2 to capture changes in the various aspects of the asset return relationships. The empirical results indicate that the great recession and European debt crisis are truly global financial crises. Linkages through financial channels are more likely to result in crisis transmission than through trade, and crises beginning emerging markets transmit unexpectedly, particularly to developed markets. Chapter 4 introduces a new class of multiple-channel tests of financial market contagion in which the transmission channels of financial market crises are identified jointly through the correlation, co-skewness and co-kurtosis of the distribution of returns. The proposed tests yield the correct size in small samples which is typical of crisis periods. Regarding the power of the tests, the multiple-channel tests display the second highest power following the single-channel tests if the data generating process for an experiment contains the transmission channel of contagion consistent with the single-channel test. In an empirical application involving the three financial crises of 2007-12, the results show that the joint tests identify various combinations of transmission channels. Chapter 5 introduces new framework for testing for crisis and contagion using a regime switching skew-normal model (RSSN model). This new approach provides a more general framework for developing five types of crisis and contagion channels simultaneously. Measuring financial contagion within the RSSN model can solve several econometric problems. These are i) market dependence is fully captured by simultaneously considering both second and third order co-moments of asset returns; ii) transmission channels are simultaneously examined; iii) crisis and contagion are distinguished and individually modelled; iv) the market that a crisis originates is endogenous; and v) the timing of a crisis is endogenous. By applying the proposed model to equity markets during the great recession using Bayesian model comparison techniques, the results generally show that crisis and contagion are pervasive across Europe and the US through the second and third moment channels during the great recession.
Download or read book Correlation Analysis of Financial Contagion written by Giancarlo Corsetti and published by . This book was released on 2001 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Correlation Analysis of Financial Contagion What One Should Konw before Running a Test written by G. Corsetti and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing and Dating Financial Contagion written by Shang Chan Chiou and published by . This book was released on 2007 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the paper, we propose a new methodology to test and date the financial contagion. The newly proposed multivariate model not only incorporates endogenous structural breaks but also encompasses a "mixed" version of state-space model. It provides a "direct" test for the presence of contagion while controlling three types of bias, namely, heteroskedasticity, endogeneity and omitted variables. In contrast to the correlation-based test available in the literature, our test is direct by literally inspecting "the change of cross-market dependence". Contrast to the traditional state-space model, we explore the possible relationship among observable and latent factors. In addition, in stead of using exogenously specified turmoil periods, we endogeneously pin down the break points. Finally, the number of latent variables and the number of break points are also endogenously selected by a model comparison procedure. We illustrate the proposed methodology by analyzing the stock market collapses in Hong Kong, Thailand, Malaysia, Indonesia, and South Korea during 1997 and early 1998. The empirical study suggests three structural breaks occurred on 6/11/97, 10/15/97 and 11/12/98, respectively. The first two breaks are further shown to exhibit financial contagion. The conclusion of the existence of contagion is robust under various model specifications.
Download or read book Financial Contagion written by Matteo Cominetta and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contagion has mostly been interpreted and tested as a break from a stable linear correlation of financial markets caused by an extraordinary shock. This paper argues that quantile regression can provide a tool to investigate alterations in other features of financial returns' distribution caused by extraordinary shocks, thus providing additional understanding of the mechanism of financial shock propagation and its instability. Applying the technique to stock market returns, we find evidence that jumps in uncertainty have powerful contagious effects of a form different from an increase in markets' correlation. These effects would not be detectable in standard contagion tests that search for increases in market correlation.
Download or read book Interconnectedness and Contagion Analysis A Practical Framework written by Mrs.Jana Bricco and published by International Monetary Fund. This book was released on 2019-10-11 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.
Download or read book Transmission of Financial Crises and Contagion written by Mardi Dungey and published by Oxford University Press. This book was released on 2011-01-07 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial crises often transmit across geographical borders and different asset classes. Modeling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework encompasses a number of other empirical contagion models and why the results between the models differ. The book builds a framework which begins from considering contagion in the bond markets during 1997-1998 across a number of countries, and culminates in a model which encompasses multiple assets across multiple countries through over a decade of crisis events from East Asia in 1997-1998 to the sub prime crisis during 2008. Program code to support implementation of similar models is available.
Download or read book Financial Contagion written by and published by . This book was released on 2016 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contagion has mostly been interpreted and tested as a break from a stable linear correlation of financial markets caused by an extraordinary shock. This paper argues that quantile regression can provide a tool to investigate alterations in other features of financial returns' distribution caused by extraordinary shocks, thus providing additional understanding of the mechanism of financial shock propagation and its instability. Applying the technique to stock market returns, we find evidence that jumps in uncertainty have powerful contagious effects of a form different from an increase in markets' correlation. These effects would not be detectable in standard contagion tests that search for increases in market correlation.
Download or read book Identifying International Financial Contagion written by Mardi Dungey and published by Oxford University Press, USA. This book was released on 2005 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book tackles these factors theoretically, providing an intellectually satisfying framework for the understanding of financial contagion."--Jacket.
Download or read book Testing Contagion in Multivariate Financial Time Series Based on Residual and Recurrence Times written by Zheng Tan and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial contagion refers to the transmission of a financial shock in one entity to other interdependent entities. While the study of causes and prevention of contagion is very popular among economists, there are not many quantitative studies on how to detect (hypothesis testing) and measure (estimate) contagion. In this dissertation thesis, a new idea of Residual and Recurrence Times method of high or low values for multivariate time series is shown. With financial contagion, the distributions of residual and recurrence times are not the same, where the equality of two distributions is examined by permutation test. When compared to some methods in multivariate extreme value theory, this new method does not need the IID assumption and can handle the situation where the extremes for different components do not occur at the same time.
Download or read book Financial Contagion written by Rob Quail and published by John Wiley & Sons. This book was released on 2011-02-09 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Financial Contagion: The Viral Threat to the Wealth of Nations covers a lot of territory. It is, of course, terribly important to analyze case histories to discover potential triggers, mechanisms of transmission, and viable ways to contain the damage of financial contagion. The problem is, as these articles amply demonstrate, that there’s always a new virus or a mutation of a former one lurking in some corner of the financial world. We don’t know what it is or where it is. And, even if we had some inkling, there’s almost never enough time to develop a financial flu shot." --SeekingAlpha.com The latest insights on financial contagion and how both nations and investors can effectively deal with it. The domino-style structure in which the financial system exists is a perilous one. Although historically, the financial system has been able to deal with major shocks, the fact remains that our financial system is not as secure as it should be. Recent years have brought about too many examples of contagion and systemic risk. That is why Financial Contagion is such an important read. In it, the serious concerns that revolve around our fragile economic system are investigated, researched, and explained. Throughout the book, Kolb offers valuable insights on this dilemma as he compiles the history of financial contagion, highlights the latest research on systemic failure and interrelated markets, and analyzes the risks and consequences we face moving forward. Examines the importance of careful regulation and what must be done to stabilize the global financial system Includes contributed chapters from both academics and experienced professionals, offering a variety of perspectives and a rich interplay of ideas Details how close we are to witnessing a financial contagion that could devastate the world economy We have been harshly reminded of how fragile our economic ecosystem is. With Financial Contagion, you'll hold a better understanding of what needs to be done to strengthen our system and safeguard our financial future.
