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Empirical Evidence On Spatial Contagion Between Financial Markets
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Book Synopsis Empirical Evidence on Spatial Contagion between Financial Markets by : Brendan Bradley
Download or read book Empirical Evidence on Spatial Contagion between Financial Markets written by Brendan Bradley and published by . This book was released on 2005 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: We say that there is contagion from market X to market Y if there is more dependence between X and Y when X is doing badly than when X exhibits typical performance, that is, if there is more dependence at the loss tail distribution of X than at its center. This alternative definition of contagion between financial markets was introduced in Bradley and Taqqu (2004), where a test for contagion based on local correlation was presented. Using this test, we find evidence of contagion from the US equity markets to equity markets of several developed countries. We also find evidence of flight to quality from the US equity market to the US government bond market. We make the software written in support of this work freely available and describe its use in the appendix.
Book Synopsis How to Estimate Spatial Contagion between Financial Markets by : Brendan Bradley
Download or read book How to Estimate Spatial Contagion between Financial Markets written by Brendan Bradley and published by . This book was released on 2005 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: A definition of contagion between financial markets based on local correlation was introduced in Bradley and Taqqu (2004) and a test for contagion was proposed. For the test to be implemented, local correlation must be estimated. This paper describes an estimation procedure based on nonparametric local polynomial regression. The procedure is illustrated on the US and French equity market data.
Book Synopsis Framework for Analyzing Spatial Contagion between Financial Markets by : Brendan Bradley
Download or read book Framework for Analyzing Spatial Contagion between Financial Markets written by Brendan Bradley and published by . This book was released on 2005 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present an alternative definition of contagion between financial markets, which is based on a measure of local correlation. We say that there is contagion from market X to market Y if there is more dependence between X and Y when X is doing badly than when X exhibits typical performance, that is, if there is more dependence at the loss tail distribution of X than at its center. The dependence is measured by the local correlation between X and Y. This yields a test for contagion, which does not require the specification of crisis and normal periods. As such, it avoids difficulties associated with testing for correlation breakdown, such as hand picking subsets of the data, and it provides a better understanding of the degree of dependence between financial markets.
Book Synopsis Empirical Evidence on Financial Spillovers and Contagion to International Stock Markets by : Dobromi·l Serwa
Download or read book Empirical Evidence on Financial Spillovers and Contagion to International Stock Markets written by Dobromi·l Serwa and published by . This book was released on 2005 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Contagion by : Dobromił Serwa
Download or read book Financial Contagion written by Dobromił Serwa and published by . This book was released on 2003 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Contagion Across Financial Markets by : Mardi Dungey
Download or read book Contagion Across Financial Markets written by Mardi Dungey and published by . This book was released on 2001 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 2008 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Financial And Economic Systems: Transformations And New Challenges by : Zied Ftiti
Download or read book Financial And Economic Systems: Transformations And New Challenges written by Zied Ftiti and published by World Scientific. This book was released on 2021-03-22 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last twenty years, several periods of turmoil have shaped the financial and economic system. Many regulatory policies, such as Basel III, have been introduced to overcome further crises and scandals. In addition, monetary policy has experienced a transition from conventional to unconventional frameworks in most industrialized and emerging economies. For instance, turning to hedge and diversification of portfolios, commodities markets have attracted increasing interest. More recently, new forms of money have been introduced, such as virtual money. These changes have influenced governance features at both macro and micro levels. Therefore, calls for ethical and sustainable standards in financial and economic spheres have been growing since 2007.Financial and Economic Systems: Transformations and New Challenges provides readers with insights about future transformations and challenges for financial and economic systems. Prominent contributors focus on different aspects, providing a global overview of crisis implications. The book is split into four main areas: Changes in the Real Sphere, covering issues related to yields, risk, unconventional monetary policy, and macroprudential policy; Financial Markets and Macroeconomics, covering uncertainty in finance and economics; CSR, Sustainability and Ethical Finance, highlighting the emergence of corporate social responsibility; and Digitalization, Blockchain and FinTech and the consequences of these transformations on markets and economic systems.
Book Synopsis Statistical Modeling Using Local Gaussian Approximation by : Dag Tjøstheim
Download or read book Statistical Modeling Using Local Gaussian Approximation written by Dag Tjøstheim and published by Academic Press. This book was released on 2021-10-05 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Modeling using Local Gaussian Approximation extends powerful characteristics of the Gaussian distribution, perhaps, the most well-known and most used distribution in statistics, to a large class of non-Gaussian and nonlinear situations through local approximation. This extension enables the reader to follow new methods in assessing dependence and conditional dependence, in estimating probability and spectral density functions, and in discrimination. Chapters in this release cover Parametric, nonparametric, locally parametric, Dependence, Local Gaussian correlation and dependence, Local Gaussian correlation and the copula, Applications in finance, and more. Additional chapters explores Measuring dependence and testing for independence, Time series dependence and spectral analysis, Multivariate density estimation, Conditional density estimation, The local Gaussian partial correlation, Regression and conditional regression quantiles, and a A local Gaussian Fisher discriminant. Reviews local dependence modeling with applications to time series and finance markets Introduces new techniques for density estimation, conditional density estimation, and tests of conditional independence with applications in economics Evaluates local spectral analysis, discovering hidden frequencies in extremes and hidden phase differences Integrates textual content with three useful R packages
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 Handbook of Financial Markets: Dynamics and Evolution by : Thorsten Hens
Download or read book Handbook of Financial Markets: Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Book Synopsis The Asian Financial Crisis by : Morris Goldstein
Download or read book The Asian Financial Crisis written by Morris Goldstein and published by Peterson Institute. This book was released on 1998 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: The turmoil that has rocked Asian markets since the middle of 1997, and that is now having such deep effects on the economies in the region, is the third major currency crisis of the 1990s. This study explains how the Asian crisis arose and spread. It then outlines the corrective policy measures that could help end the crisis, and the shortcomings that have been revealed in the international financial system that require reform to reduce the chances of a recurrence.
Book Synopsis Sovereign Rating News and Financial Markets Spillovers by : Bertrand Candelon
Download or read book Sovereign Rating News and Financial Markets Spillovers written by Bertrand Candelon and published by International Monetary Fund. This book was released on 2011-03-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.
Book Synopsis Spatial Econometrics by : J. Paul Elhorst
Download or read book Spatial Econometrics written by J. Paul Elhorst and published by Springer Science & Business Media. This book was released on 2013-09-30 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of three generations of spatial econometric models: models based on cross-sectional data, static models based on spatial panels and dynamic spatial panel data models. The book not only presents different model specifications and their corresponding estimators, but also critically discusses the purposes for which these models can be used and how their results should be interpreted.
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.
Book Synopsis Capital Flows at Risk: Taming the Ebbs and Flows by : Mr.R. G Gelos
Download or read book Capital Flows at Risk: Taming the Ebbs and Flows written by Mr.R. G Gelos and published by International Monetary Fund. This book was released on 2019-12-20 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility of capital flows to emerging markets continues to pose challenges to policymakers. In this paper, we propose a new framework to answer critical policy questions: What policies and policy frameworks are most effective in dampening sharp capital flow movements in response to global shocks? What are the near- versus medium-term trade-offs of different policies? We tackle these questions using a quantile regression framework to predict the entire future probability distribution of capital flows to emerging markets, based on current domestic structural characteristics, policies, and global financial conditions. This new approach allows policymakers to quantify capital flows risks and evaluate policy tools to mitigate them, thus building the foundation of a risk management framework for capital flows.
Book Synopsis Introduction to Spatial Econometrics by : James LeSage
Download or read book Introduction to Spatial Econometrics written by James LeSage and published by CRC Press. This book was released on 2009-01-20 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although interest in spatial regression models has surged in recent years, a comprehensive, up-to-date text on these approaches does not exist. Filling this void, Introduction to Spatial Econometrics presents a variety of regression methods used to analyze spatial data samples that violate the traditional assumption of independence between observat
