Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes

Renee Fry-McKibbin, Cody Yu-Ling Hsiao and Chrismin Tang

Open Economies Review, 2014, vol. 25, issue 3, 570 pages

Abstract: Episodes of extraordinary turbulence in global financial markets are examined during nine crises ranging from the Asian crisis in 1997–98 to the recent European debt crisis of 2010–13. After dating each crisis using a regime switching model, the analysis focuses on changes in the dependence structures of equity markets through correlation, coskewness and covolatility to address a range of hypotheses regarding contagion transmission. The results show that the great recession is a true global financial crisis. Finance linkages are more likely to result in crisis transmission than trade and emerging market crises transmit unexpectedly, particularly to developed markets. Copyright Springer Science+Business Media New York 2014

Keywords: Contagion testing; Correlation; Coskewness; Covolatility; Asian crisis; Russian crisis; LTCM crisis; Brazil crisis; Dot-com crisis; Argentinian crisis; Sub-prime crisis; Great recession; European debt crisis; Global financial crisis; C11; C34; C51; G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (37)

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DOI: 10.1007/s11079-013-9289-1

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