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Multivariate contagion and interdependence

Baur, Dirk G; Fry, Renée A


This paper proposes a multivariate test to measure the statistical and economic significance of contagion through analysis of extreme unobserved common shocks. Contagious episodes are endogenously determined with no need, but the possibility, to specify the source country. Application to a panel of equity returns during the Asian crisis of 1997–1998 finds that interdependencies are substantially more important than contagion. However, the periods of contagion evident show that it is...[Show more]

CollectionsANU Research Publications
Date published: 2009-09
Type: Journal article
Source: Journal of Asian Economics 20.4 (2009). 353–366
DOI: 10.1016/j.asieco.2009.04.008


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