Sources of output volatility from financial crisis in emerging markets

Kritchaya Pattanachak and Jin Man Lee

Applied Financial Economics, 2010, vol. 20, issue 3, 183-199

Abstract: We investigate how output fluctuates before and after these financial crises hit the E-7 countries by excluding the crisis period defined earlier from the sample. The E-7 is referred to a group of seven emerging market countries-Thailand, Malaysia, Indonesia, the Philippines, South Korea, Mexico and Argentina. The main focus of this study is on the source of change in output variability whether it is due to the shocks (impulses) or due to the structure (propagation mechanism). Thailand, Argentina and the Philippines have lower output variability after crisis, while South Korea, Mexico, Indonesia and Malaysia have higher output variance. The counterfactual Vector Autoregression (VAR) analysis shows that the source of output variability change is mainly attributable to the change in structure (propagation mechanism) rather than the change in shocks (impulses) for the E-7, except the Philippines.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100903282705 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:20:y:2010:i:3:p:183-199

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100903282705

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().