The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

Essahbi Essaadi, Jamel Jouini () and Wajih Khallouli ()

Panoeconomicus, 2009, vol. 56, issue 2, 241-260

Abstract: In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron’s (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand. Key words: Shift-contagion, Time-varying correlation, Sequential selection procedure.JEL: C22, G15.

Keywords: Shift-contagion; Time-varying correlation; Sequential selection procedure (search for similar items in EconPapers)
Date: 2009
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Related works:
Working Paper: The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis (2009)
Working Paper: The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis (2007)
Working Paper: The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:voj:journl:v:56:y:2009:i:2:p:241-260:id:217

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