The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

Essahbi Essaadi, Jamel Jouini () and Wajih Khallouli ()
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Jamel Jouini: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, UCAR - Université de Carthage (Tunisie)

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

Keywords: Shift-contagion; time-varying correlation; sequential selection procedure (search for similar items in EconPapers)
Date: 2009
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00404386
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Citations: View citations in EconPapers (16)

Published in Panoeconomicus, 2009, 56 (2), pp.241-260. ⟨10.2298/PAN0902241E⟩

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Related works:
Working Paper: The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis (2007)
Working Paper: The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00404386

DOI: 10.2298/PAN0902241E

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