Financial Contagion and the Real Economy

Dirk Baur ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper analyzes the incidences of sector-specific contagion during the Global Financial Crisis of 2007-2009. The empirical analysis comprising ten sectors in 25 major developed and emerging stock markets shows that the crisis led to an increased co-movement of returns and thus contagion among financial sector stocks across countries and between financial sector stocks and real economy stocks both across countries and within a country. The results demonstrate that multiple sectors were infected in most countries and that no country was immune to the adverse effects of the crisis. The results provide information on the effectiveness of governmentsÕ stimulus packages to limit the spreading of a financial crisis.

JEL-codes: F30 F36 G01 G14 G15 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2010-05
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Citations: View citations in EconPapers (2)

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https://crawford.anu.edu.au/sites/default/files/2026-05/16_Baur_2010.pdf (application/pdf)

Related works:
Journal Article: Financial contagion and the real economy (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2010-16

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