Contagion of the Global Financial Crisis and the real economy: A regional analysis

Dimitris Kenourgios and Dimitrios Dimitriou ()

Economic Modelling, 2015, vol. 44, issue C, 283-293

Abstract: 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.

Keywords: Global Financial Crisis; Contagion; Regions; Real economy sectors; FIAPARCH–DCC model (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (87)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:44:y:2015:i:c:p:283-293

DOI: 10.1016/j.econmod.2014.10.048

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