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More confusion in contagion tests: the effects of a crisis sourced in US credit markets

Dungey, Mardi; Fry, Renée


The involvement of the world’s primary developed credit markets in the US at the heart of the global financial crisis poses some particularly difficult challenges to the contagion modelling literature. US credit markets have often been used as a benchmark market for global economic conditions, but their intrinsic involvement further complicates our understanding of the transmission of financial market shocks. This paper demonstrates how the involvement of benchmark assets may result in...[Show more]

CollectionsANU Research Publications
Date published: 2009-05
Type: Journal article
Source: The Journal of Economic Asymmetries 6 (2009): 41-70


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