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Actually this time is different

McKibbin, Renee Anne; Hsiao, Cody Yu-Ling; Tang, Chrismin

Description

Episodes of extraordinary turbulence in global financial markets are examined during eight crises ranging from Asia in 1997-98 to the recent great recession of 2008-10. The analysis focuses on changes in the dependence structures of equity markets through correlation and coskewness to answer the question of whether the great recession is different to other crises in terms of shock transmission through contagion. The results show that ‘this time is different’ and that the great recession...[Show more]

CollectionsANU Research Publications
Date published: 2011-06
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/11666

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