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The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

Essahbi Essaadi, Jamel Jouini () and Wajih Khallouli ()
Additional contact information
Jamel Jouini: F.S.E.G.N., E.S.S.A.I. and L.E.G.I., Université 7 Novembre de Carthage, Tunisie, GREQAM, Université de la Méditerranée, France

No 725, Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon

Abstract: In this paper, we are interested in testing for contagion caused by the Thai bath collapse in July 1997. In line with earlier work, shift-contagion is defined as a structural change in the international propagation mechanisms of financial shocks. We adopt the Bai and Perron’s (1998) structural break approach to detect the endogenous break points in the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach allows solving the misspecification problem of crisis window. Our results indicate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.

Keywords: sequential selection procedure; shift-contagion; time-varying correlation (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2007-10
New Economics Papers: this item is included in nep-cfn, nep-ets, nep-ifn and nep-sea
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Citations: View citations in EconPapers (4)

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ftp://ftp.gate.cnrs.fr/RePEc/2007/0725.pdf (application/pdf)

Related works:
Journal Article: The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis (2009) Downloads
Working Paper: The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis (2009) Downloads
Working Paper: The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis (2004) Downloads
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