Actually this time is different
Date
Authors
McKibbin, Renee Anne
Hsiao, Cody Yu-Ling
Tang, Chrismin
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Volume Title
Publisher
Centre for Applied Macroeconomic Analysis (CAMA), The Australian National University
Abstract
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 is truly a global financial crisis. Other US sourced crises do not
affect other markets through contagion, and emerging market crises transmit unexpectedly.
Description
Keywords
contagion testing, correlation, coskewness, Asian crisis, Russian crisis, LTCM crisis, Brazil crisis, dot-com crisis, Argentinian crisis, sub-prime, crisis, great recession, global financial crisis
Citation
McKibbin, R at al (20110). Actually this time is different. CAMA Working Paper Series. Working Paper 12/2011. Canberra: Centre for Applied Macroeconomic Analysis (CAMA), The Australian National University
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Working/Technical Paper
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Open Access
Open Access
Open Access
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Restricted until
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