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Are financial crises alike?

McKibbin, Renee Anne; Dungey, Mardi; González-Hermosillo, Brenda; Martin, Vance L.; Tang, Chrismin

Description

This paper investigates whether financial crises are alike by considering whether a single modeling framework can fit multiple distinct crises in which contagion effects link markets across national borders and asset classes. The crises considered are Russia and LTCM in the second half of 1998, Brazil in early 1999, dot-com in 2000, Argentina in 2001-2005, and the recent U.S. subprime mortgage and credit crisis in 2007. Using daily stock and bond returns on emerging and developed markets from...[Show more]

CollectionsANU Research Publications
Date published: 2010-01
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/11665

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