Contagion effects of the US Subprime Crisis on Developed Countries

Isabel Vieira ()

CEFAGE-UE Working Papers from University of Evora, CEFAGE-UE (Portugal)

Abstract: This study assesses whether capital markets of developed countries reflect the effects of financial contagion from the US subprime crisis and, in such case, if the intensity of contagion differs across countries. Adopting a definition of contagion that relates the phenomenon to an increase of cross-market linkages following a shock, copula models are used to analyse how the connections between the US and each market in the sample, evolved from the pre-crisis to the crisis period. The results suggest that markets in Canada, Japan, Italy, France and the United Kingdom display significant levels of contagion, which are less relevant in Germany. Canada appears to be the country where the highest intensity of contagion is observed.

Keywords: G7; subprime crisis; contagion; copula; event study (search for similar items in EconPapers)
JEL-codes: F30 G14 G15 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2008
New Economics Papers: this item is included in nep-ure
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:cfe:wpcefa:2008_08

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