On Synchronisation of Financial Crises

Lestano Lestano (), Mardi Dungey () and Jan Jacobs ()

No 226, Econometric Society 2004 Australasian Meetings from Econometric Society

Abstract: This paper develops concordance indices for studying the simultaneous occurrence of financial crises across markets and/or countries. The typically low incidence of financial crises necessitates a change in the definition of concordance from those recently developed for the business cycle literature (Harding and Pagan (2002,2003)). We propose to confine attention to non-tranquil periods and study the properties of the revised index. An application to East Asian countries reveals the extent of concordance in crises by both asset market and cou

Keywords: financial crisis; contagion; synchronisation; concordance (search for similar items in EconPapers)
JEL-codes: F31 F47 (search for similar items in EconPapers)
Date: 2004-08-11
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Persistent link: http://EconPapers.repec.org/RePEc:ecm:ausm04:226

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