Actually This Time Is Different

Renee Fry-McKibbin, Cody Yu-Ling Hsiao and Chrismin Tang

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

Abstract: Episodes of extraordinary turbulence in global financial markets are examined during eight crises ranging from Asia in 1997-98 to the recent great recession of 2008-10. The analysis focuses on changes in the dependence structures of equity markets through correlation and coskewness to answer the question of whether the great recession is different to other crises in terms of shock transmission through contagion. The results show that ‘this time is different’ and that the great recession is truly a global financial crisis. Other US sourced crises do not affect other markets through contagion, and emerging market crises transmit unexpectedly.

Pages: 40 pages
Date: 2011-06
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2011-12

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