Channels of financial market contagion

Daryl Collins and Shana Gavron

Applied Economics, 2004, vol. 36, issue 21, 2461-2469

Abstract: This study aims to fill a gap in the current literature by determining which channels of financial contagion are the most significant in transmitting crises between countries. Initial results, using χ2 contingency tables, indicate that there is a significant relationship between contagion and the inflation rate and between contagion and financial liquidity. A simultaneous comparison of the channels is then performed using a series of best subset logit regressions. These suggest that a combination of high inflation and an emerging market classification form the most significant subset in increasing the probability of a contagious event.

Date: 2004
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DOI: 10.1080/0003684042000287628

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