Dynamic Correlation Analysis Of Financial Contagion PDF Download
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| Author | : Thomas Chinan Chiang |
| Publisher | : |
| Total Pages | : 23 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Dynamic Correlation Analysis of Financial Contagion Book in PDF, ePub and Kindle
This paper reexamines Asian stock market contagion by applying a dynamic multivariate GARCH model to daily stock-return data in nine Asian countries and the United States during the period from 1996 to 2003. The empirical results find supportive evidence of a contagion effect. By analyzing the correlation-coefficient series, this paper identifies two phases of the Asian crisis. The first phase shows an increase in correlation (contagion) and the second phase shows continued high correlation (herding). Statistical analysis of the correlation coefficients shows shifts in the level as well as in the variance of the correlation coefficients during the crisis period, casting some doubt on the benefit of international portfolio diversification. This study finds that international rating agents play significant role in shaping the structure of dynamic correlations in the Asian markets.
| Author | : Giancarlo Corsetti |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2003 |
| Genre | : |
| ISBN | : |
Download Correlation Analysis of Financial Contagion Book in PDF, ePub and Kindle
This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in the data generating process of rates of return. Using a factor model of returns as theoretical framework, we nest leading contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of contagion is successful in controlling for a potential bias induced by changes in the variance of global shocks, current tests are conditional on a specific yet arbitrary assumption about the variance of country specific shocks. Our results suggest that, for a number of pairs of country stock markets, the hypothesis of 'no contagion' can be rejected only if the variance of country specific shocks is set to levels that are not consistent with the evidence.
| Author | : Kwang-Il Choe |
| Publisher | : |
| Total Pages | : 104 |
| Release | : 2003 |
| Genre | : Financial crises |
| ISBN | : |
Download A Test for Financial Contagion Book in PDF, ePub and Kindle
| Author | : G. Corsetti |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
Download Correlation Analysis of Financial Contagion: What One Should Konw before Running a Test Book in PDF, ePub and Kindle
| Author | : Serge Darolles |
| Publisher | : Elsevier |
| Total Pages | : 168 |
| Release | : 2015-08-26 |
| Genre | : Mathematics |
| ISBN | : 0081004788 |
Download Contagion Phenomena with Applications in Finance Book in PDF, ePub and Kindle
Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework. This book covers the standard practice for defining shocks in SVAR models, impulse response functions, identitification issues, static and dynamic models, leading to the challenges of measurement of systematic risk and contagion, with interpretations of hedge fund survival and market liquidity risks Features the standard practice of defining shocks to models to help you to define impulse response and dynamic consequences Shows that identification of shocks can be solved in a dynamic framework, even within a linear perspective Helps you to apply the models to portfolio management, risk monitoring, and the analysis of financial stability
| Author | : Rob Quail |
| Publisher | : John Wiley & Sons |
| Total Pages | : 570 |
| Release | : 2011-02-09 |
| Genre | : Business & Economics |
| ISBN | : 1118016521 |
Download Financial Contagion Book in PDF, ePub and Kindle
"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.
| Author | : Stijn Claessens |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 461 |
| Release | : 2013-04-17 |
| Genre | : Business & Economics |
| ISBN | : 1475733143 |
Download International Financial Contagion Book in PDF, ePub and Kindle
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.
| Author | : Dimitris Kenourgios |
| Publisher | : |
| Total Pages | : |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Contagion of the Global Financial Crisis and the Real Economy Book in PDF, ePub and Kindle
This paper investigates the contagion effects of the Global Financial Crisis (2007-2009) by examining ten sectors in six developed and emerging regions during different phases of the crisis. The analysis tests different channels of financial contagion across regions and real economy sectors by utilizing dynamic conditional correlation from the multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) model. Evidence shows that the GFC can be characterized by contagion effects across regional stock markets and regional financial and non-financial sectors.However, Developed Pacific region and some sectors in particular Consumer Goods, Healthcare and Technology across all regions seem to be less affected by the crisis, while the most vulnerable sectors are observed in the emerging Asian and European regions. Further, the analysis on a crisis phase level indicates that the most severe contagion effects exist after the failure of Lehman Brothers limiting the effectiveness of portfolio diversification.
| Author | : Giancarlo Corsetti |
| Publisher | : |
| Total Pages | : 23 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Some Contagion, Some Interdependence Book in PDF, ePub and Kindle
This paper builds on a standard factor model of stock market returns to reconsider recent empirical literature on contagion in financial markets based on bivariate correlation analysis. According to this literature, contagion is defined as a structural break in the linear transmission mechanism of financial shocks. Using our framework, we show that the result of 'no contagion, only interdependence' stressed by recent contributions is due to arbitrary and unrealistic restrictions on the variance of country-specific shocks. We focus on the international effects of the Hong Kong stock market crisis of October 1997 as a case study. For plausible values of the variance of country-specific shocks in Hong Kong, current tests cannot reject the null of interdependence for 16 countries out of a sample of 17. Our analysis strongly questions such conclusion, finding evidence of 'contagion' for at least five countries.
| Author | : Dimitris Kenourgios |
| Publisher | : |
| Total Pages | : |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Testing for Asymmetric Financial Contagion Book in PDF, ePub and Kindle
This paper investigates financial contagion as an asymmetric propagation mechanism across both equity and foreign exchange markets. In order to provide a robust analysis of the contagion dynamics, we apply an asymmetric generalized dynamic conditional correlation (AG-DCC) model. This specification allows examining the presence of asymmetric responses in correlations to negative returns, focusing on four countries affected by a specific emerging-market crisis (Asian crisis in 1997-1998). We find that conditional correlations among stock (currency) markets increase significantly during the crisis period, supporting the presence of asymmetric responses to negative shocks and the contagion phenomenon. The results also support the regional nature of this crisis, which is also spread with a higher magnitude among equity rather than currency markets. This evidence has important implications for portfolio diversification strategies and the effectiveness of policy responses to prevent the spread of the crisis among countries.
