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Correlation Analysis Of Financial Contagion
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Book Synopsis Correlation Analysis of Financial Contagion by : Giancarlo Corsetti
Download or read book Correlation Analysis of Financial Contagion written by Giancarlo Corsetti and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Correlation Analysis of Financial Contagion: What One Should Konw before Running a Test by : G. Corsetti
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:
Book Synopsis Dynamic Correlation Analysis of Financial Contagion by : Thomas Chinan Chiang
Download or read book Dynamic Correlation Analysis of Financial Contagion written by Thomas Chinan Chiang and published by . This book was released on 2008 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis A Test for Financial Contagion by : Kwang-Il Choe
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:
Book Synopsis International Financial Contagion by : Stijn Claessens
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.
Book Synopsis Some Contagion, Some Interdependence by : Giancarlo Corsetti
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:
Book Synopsis Fatal Attraction by : Mr.Giorgio Fazio
Download or read book Fatal Attraction written by Mr.Giorgio Fazio and published by International Monetary Fund. This book was released on 2003-04-01 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a new measure of contagion that is good at anticipating future vulnerabilities. Building on previous work, it uses correlations of equity markets across countries to measure contagion, but in a departure from previous practice it measures contagion using the relationship of these correlations with distance. Also in contrast to previous work, our test is good at identifying periods of "positive contagion," in which capital flows to emerging markets in a herd-like manner, largely unrelated to fundamentals. Identifying such periods of "fatal attraction" is important as they provide the essential ingredients for subsequent crises and rapid outflows of capital.
Book Synopsis Measuring Financial Contagion by Local Gaussian Correlation by : Bård Støve
Download or read book Measuring Financial Contagion by Local Gaussian Correlation written by Bård Støve and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis CoMap: Mapping Contagion in the Euro Area Banking Sector by : Mehmet Ziya Gorpe
Download or read book CoMap: Mapping Contagion in the Euro Area Banking Sector written by Mehmet Ziya Gorpe and published by International Monetary Fund. This book was released on 2019-05-10 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.
Book Synopsis Financial Contagion Effect and Investor Behavior in African Financial Markets During the 2007-09 Global Financial Crisis by : Jaliyyah Bello
Download or read book Financial Contagion Effect and Investor Behavior in African Financial Markets During the 2007-09 Global Financial Crisis written by Jaliyyah Bello and published by . This book was released on 2020 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines contagion effect on 10 African financial markets. These markets can be considered risky as they carry additional political and economic risks. They are also a lot less integrated with the US as depicted in financial integration literature. A consequence of this is that African financial markets, generally have much lower correlations with the US market. The distinguishing characteristic of the 2007-09 crisis is its long nature characterised by a series of sub-shocks. The insight that this paper gives is that, a multiple-event crisis that consists of a series of shocks, leads us to examine contagion as a series of events. Using correlation coefficient analysis, evidence of contagion is found in different crisis periods which mostly disappeared following the adjustment for heteroscedasticity bias. Our results do point to investors' herding behaviour as the main driving force for contagion in our sample.
Book Synopsis Financial Market Contagion in the Asian Crisis by : Mr.Taimur Baig
Download or read book Financial Market Contagion in the Asian Crisis written by Mr.Taimur Baig and published by International Monetary Fund. This book was released on 1998-11-01 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.
Book Synopsis Interconnectedness and Contagion Analysis: A Practical Framework by : Mrs.Jana Bricco
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.
Book Synopsis Fatal Attraction by : Tamim A. Bayoumi
Download or read book Fatal Attraction written by Tamim A. Bayoumi and published by . This book was released on 2003 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Contagion Using Correlations by : Mardi Dungey
Download or read book Testing for Contagion Using Correlations written by Mardi Dungey and published by . This book was released on 2001 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Adjustment Needed to Identify Financial Contagion Through Correlation Coefficients by : Vicky Ng
Download or read book The Adjustment Needed to Identify Financial Contagion Through Correlation Coefficients written by Vicky Ng and published by . This book was released on 2004 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Book Synopsis Contagion Versus Interdependence by : Stefanie Kleimeier
Download or read book Contagion Versus Interdependence written by Stefanie Kleimeier and published by . This book was released on 2003 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a framework based on correlation analysis to test for contagion during the episode of financial turmoil surrounding the Asian crisis. In particular, we calculate conditional and unconditional correlation coefficients for 15 countries. We advocate the use of synchronous instead of synchronized data to correctly measure stock market comovements. Considering the two different phases of the Asian crisis, reveals that synchronized data lead to an over-identification of contagion for the early Thailand crisis phase but an under-identification of contagion during the late Hong Kong crisis phase. When using synchronous data, we find little evidence of a significant change in the transmission mechanisms from Thailand to any of the other country in our sample as most financial shocks are thus transmitted through non-crisis-contingent channels. Contrary to the Thailand finding, we find evidence of contagion from the Hong Kong stock market to most of the other stock markets in our sample. This is in contrast with the findings of Forbes and Rigobon (2002) and suggests that most shocks are transmitted through crisis-contingent channels. Overall, our findings should caution researchers and practitioners alike when drawing conclusions based on synchronized data.
