The more contagion effect on emerging markets: The evidence of DCC-GARCH model

Sibel Celık

Economic Modelling, 2012, vol. 29, issue 5, 1946-1959

Abstract: The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during U.S. subprime crisis for most of the developed and emerging countries. Another finding is that emerging markets seem to be the most influenced by the contagion effects during U.S. subprime crisis. Since financial contagion is important for monetary policy, risk measurement, asset pricing and portfolio allocation, the findings of paper may be interest of policy makers, investors and portfolio managers.

Keywords: Contagion; DCC-GARCH; Financial crisis; Emerging markets (search for similar items in EconPapers)
JEL-codes: F31 G01 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:5:p:1946-1959

DOI: 10.1016/j.econmod.2012.06.011

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