Testing And Dating Financial Contagion
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| Author | : Shang Chan Chiou |
| Publisher | : |
| Total Pages | : 176 |
| Release | : 2007 |
| Genre | : Financial crises |
| ISBN | : 9780549010388 |
In the paper, we propose a new methodology to test and date the financial contagion. The newly proposed multivariate model not only incorporates endogenous structural breaks but also encompasses a "mixed" version of state-space model. It provides a "direct" test for the presence of contagion while controlling three types of bias, namely, heteroskedasticity, endogeneity and omitted variables. In contrast to the correlation-based test available in the literature, our test is direct by literally inspecting "the change of cross-market dependence". Contrast to the traditional state-space model, we explore the possible relationship among observable and latent factors. In addition, in stead of using exogenously specified turmoil periods, we endogeneously pin down the break points. Finally, the number of latent variables and the number of break points are also endogenously selected by a model comparison procedure. We illustrate the proposed methodology by analyzing the stock market collapses in Hong Kong, Thailand, Malaysia, Indonesia, and South Korea during 1997 and early 1998. The empirical study suggests three structural breaks occurred on 6/11/97, 10/15/97 and 11/12/98, respectively. The first two breaks are further shown to exhibit financial contagion. The conclusion of the existence of contagion is robust under various model specifications.
| Author | : Stijn Claessens |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 461 |
| Release | : 2013-04-17 |
| Genre | : Business & Economics |
| ISBN | : 1475733143 |
No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.
| Author | : Lei Ming Chrismin Tang |
| Publisher | : |
| Total Pages | : 530 |
| Release | : 2007 |
| Genre | : Contagion (Social psychology) |
| ISBN | : |
| Author | : Rob Quail |
| Publisher | : John Wiley & Sons |
| Total Pages | : 570 |
| Release | : 2011-02-09 |
| Genre | : Business & Economics |
| ISBN | : 1118016521 |
"Financial Contagion: The Viral Threat to the Wealth of Nations covers a lot of territory. It is, of course, terribly important to analyze case histories to discover potential triggers, mechanisms of transmission, and viable ways to contain the damage of financial contagion. The problem is, as these articles amply demonstrate, that there’s always a new virus or a mutation of a former one lurking in some corner of the financial world. We don’t know what it is or where it is. And, even if we had some inkling, there’s almost never enough time to develop a financial flu shot." --SeekingAlpha.com The latest insights on financial contagion and how both nations and investors can effectively deal with it. The domino-style structure in which the financial system exists is a perilous one. Although historically, the financial system has been able to deal with major shocks, the fact remains that our financial system is not as secure as it should be. Recent years have brought about too many examples of contagion and systemic risk. That is why Financial Contagion is such an important read. In it, the serious concerns that revolve around our fragile economic system are investigated, researched, and explained. Throughout the book, Kolb offers valuable insights on this dilemma as he compiles the history of financial contagion, highlights the latest research on systemic failure and interrelated markets, and analyzes the risks and consequences we face moving forward. Examines the importance of careful regulation and what must be done to stabilize the global financial system Includes contributed chapters from both academics and experienced professionals, offering a variety of perspectives and a rich interplay of ideas Details how close we are to witnessing a financial contagion that could devastate the world economy We have been harshly reminded of how fragile our economic ecosystem is. With Financial Contagion, you'll hold a better understanding of what needs to be done to strengthen our system and safeguard our financial future.
| Author | : Kwang-Il Choe |
| Publisher | : |
| Total Pages | : 104 |
| Release | : 2003 |
| Genre | : Financial crises |
| ISBN | : |
| Author | : Mrs.Jana Bricco |
| Publisher | : International Monetary Fund |
| Total Pages | : 49 |
| Release | : 2019-10-11 |
| Genre | : Business & Economics |
| ISBN | : 1513517856 |
The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.
| Author | : Mardi Dungey |
| Publisher | : Oxford University Press |
| Total Pages | : 232 |
| Release | : 2011-01-07 |
| Genre | : Business & Economics |
| ISBN | : 0199842604 |
Financial crises often transmit across geographical borders and different asset classes. Modeling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework encompasses a number of other empirical contagion models and why the results between the models differ. The book builds a framework which begins from considering contagion in the bond markets during 1997-1998 across a number of countries, and culminates in a model which encompasses multiple assets across multiple countries through over a decade of crisis events from East Asia in 1997-1998 to the sub prime crisis during 2008. Program code to support implementation of similar models is available.
| Author | : Ms.Li L Ong |
| Publisher | : International Monetary Fund |
| Total Pages | : 610 |
| Release | : 2014-12-23 |
| Genre | : Business & Economics |
| ISBN | : 1498370411 |
The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).
| Author | : Mardi Dungey |
| Publisher | : Oxford University Press, USA |
| Total Pages | : 262 |
| Release | : 2005 |
| Genre | : Business & Economics |
| ISBN | : |
This book tackles these factors theoretically, providing an intellectually satisfying framework for the understanding of financial contagion."--Jacket.
| Author | : Shalendra D. Sharma |
| Publisher | : Cambridge University Press |
| Total Pages | : 405 |
| Release | : 2014 |
| Genre | : Business & Economics |
| ISBN | : 1107027209 |
This book is an authoritative account of the economic and political roots of the 2008 financial crisis. It examines why it was triggered in the United States, why it morphed into the Great Recession, and why the contagion spread with such ferocity around the globe. It also examines how and why economies - including the Eurozone, Russia, China, India, East Asia, and the Middle East - have been impacted and explores their response to the unprecedented challenges of the crisis and the effectiveness of their policy measures. Global Financial Contagion specifically looks at how the Obama administration's policy missteps have contributed to America's huge debt and slow recovery, why the Eurozone's response to its existential crisis has become a never-ending saga, and why the G-20's efforts to create a new international financial architecture may fall short. This book will long be regarded as the standard account of the crisis and its aftermath.
