On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility

Thomas Flavin, Ekaterini Panopoulou and Deren Ünalmış

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: We analyze the stability of domestic financial linkages between periods of calm and turbulent market conditions. Our model develops a simultaneous test of shift contagion and bi-directional pure contagion, which is applied to the equity and currency markets of a group of East Asian emerging economies. Our results show a great deal of instability in these markets with widespread evidence of pure contagion in both directions. There is less evidence of shift contagion with the transmission of common shocks unchanged between regimes for the majority of countries.

Keywords: Shift contagion; Pure contagion; Financial market crises; Regime switching (search for similar items in EconPapers)
JEL-codes: C32 F42 G15 (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-fmk and nep-mac
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Citations: View citations in EconPapers (23)

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Related works:
Journal Article: On the stability of domestic financial market linkages in the presence of time-varying volatility (2008)
Working Paper: On the stability of domestic financial market linkages in the presence of time-varying volatility (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:0810

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