An empirical study to identify shift contagion during the Asian crisis

Elise Marais and Samuel Bates
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Elise Marais: CEFI - Centre d'économie et de finances internationales - Université de la Méditerranée - Aix-Marseille 2 - CNRS - Centre National de la Recherche Scientifique

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Abstract: The paper is an empirical study on contagion during the 1997–1998 Asian crisis. In line with Sander and Kleimeier [Sander, H., Kleimeier, S., 2003. Contagion and causality: an empirical investigation of four Asian crisis episodes. International Financial Markets, Institution and Money 13, 171–186], Granger causality among Asian economies on sovereign debt market is tested. Using a new measure of causality, we attempt to show the existence of shift contagion defined as significant differences in cross-markets links between tranquil and crisis periods. Firstly, non-existent links during the tranquil period play a key role during the crisis. Secondly, causality directions give evidence of the major influence of the South Korean crisis which seems to prevail on investors to reassess the whole region.

Keywords: Granger causality; Shift Contagion (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (17)

Published in Journal of International Financial Markets, Institutions and Money, 2006, 16 (5), ⟨10.1016/j.intfin.2005.08.001⟩

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Journal Article: An empirical study to identify shift contagion during the Asian crisis (2006)
Working Paper: An empirical study to identify shift contagion during the Asian crisis (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01288429

DOI: 10.1016/j.intfin.2005.08.001

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