Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure

Riadh Aloui, Mohamed Ben Aissa () and Duc Khuong Nguyen

No 15, Working Papers from Development and Policies Research Center (DEPOCEN), Vietnam

Abstract: The paper examines the extent of the current global crisis and the contagion e¤ects it induces by conducting an empirical investigation of the extreme ?nancial interde-pendences of some selected emerging markets with the US. Several copula functions that provide the necessary ?exibility to capture the dynamic patterns of fat tail as well as linear and nonlinear interdependences are used to model the degree of cross-market linkages. Using daily return data from Brazil, Russia, India, China (BRIC markets) and the US, our empirical results show strong evidence of time-varying dependence between each of the BRIC markets and the US markets, but the dependency is stronger for commodity-price dependent markets than for ?nished-product export-oriented markets. We also observe high levels of dependence persistence for all market pairs during both bullish and bearish markets.

Keywords: Extreme comovements; copula approach; BRIC emerging markets; and global ?nancial crisis (search for similar items in EconPapers)
JEL-codes: F37 G01 G17 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2010
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2011)
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