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Contagion and global financial crises: lessons from nine crisis episodes

Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Tang, Chrismin

Description

Episodes of extraordinary turbulence in global financial markets are examined during nine crises ranging from the Asian crisis in 1997–98 to the recent European debt crisis of 2010–13. After dating each crisis using a regime switching model, the analysis focuses on changes in the dependence structures of equity markets through correlation, coskewness and covolatility to address a range of hypotheses regarding contagion transmission. The results show that the great recession is a true global...[Show more]

CollectionsANU Research Publications
Date published: 2013-10-15
Type: Journal article
URI: http://hdl.handle.net/1885/11649
Source: Open Economies Review (2013):
DOI: 10.1007/s11079-013-9289-1

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