Testing For Contagion Mean And Volatility Contagion
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Author | : Dirk G. Baur |
Publisher | : |
Total Pages | : |
Release | : 2006 |
Genre | : |
ISBN | : |
Contagion tests that are based on the correlation coefficient assume constant correlations and symmetric impacts of shocks. Moreover, they neglect volatility as a potential factor of contagion. We show that such tests can be misleading when correlations are time-varying and volatility is contagious per se. We propose a new test that is based on a regression model that eliminates the shortcomings of these tests and differentiates between mean contagion and volatility contagion in an asymmetric way. Empirical results for 11 Asian stock markets show that there is mean and volatility contagion in the Asian crisis.
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 | : Renee Fry-McKibbin |
Publisher | : |
Total Pages | : 53 |
Release | : 2015 |
Genre | : |
ISBN | : |
A new test for financial market contagion based on changes in extremal dependence defined as co-kurtosis and co-volatility is developed to identify the propagation mechanism of shocks across international financial markets. The proposed approach captures changes in various aspects of the asset return relationships such as cross-market mean and skewness (co-kurtosis) as well as cross-market volatilities (co-volatility). Monte Carlo experiments show that the tests perform well except for when crisis periods are short in duration. Small crisis sample critical values are calculated for use in this case. In an empirical application involving the global financial crisis of 2008-09, the results show that significant contagion effects are widespread from the US banking sector to global equity markets and banking sectors through either the co-kurtosis or the co-volatility channels, reinforcing that higher order moments matter during crises.
Author | : Dexiang Mei |
Publisher | : Scientific Research Publishing, Inc. USA |
Total Pages | : 131 |
Release | : 2020-12-06 |
Genre | : Art |
ISBN | : 1649970536 |
The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.
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 | : Sebastian Edwards |
Publisher | : University of Chicago Press |
Total Pages | : 782 |
Release | : 2002-11-15 |
Genre | : Business & Economics |
ISBN | : 9780226184944 |
Economists and policymakers are still trying to understand the lessons recent financial crises in Asia and other emerging market countries hold for the future of the global financial system. In this timely and important volume, distinguished academics, officials in multilateral organizations, and public and private sector economists explore the causes of and effective policy responses to international currency crises. Topics covered include exchange rate regimes, contagion (transmission of currency crises across countries), the current account of the balance of payments, the role of private sector investors and of speculators, the reaction of the official sector (including the multilaterals), capital controls, bank supervision and weaknesses, and the roles of cronyism, corruption, and large players (including hedge funds). Ably balancing detailed case studies, cross-country comparisons, and theoretical concerns, this book will make a major contribution to ongoing efforts to understand and prevent international currency crises.
Author | : Mehmet Ziya Gorpe |
Publisher | : International Monetary Fund |
Total Pages | : 63 |
Release | : 2019-05-10 |
Genre | : Business & Economics |
ISBN | : 1498312071 |
This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.
Author | : Yu-Ling Cody Hsiao |
Publisher | : |
Total Pages | : 448 |
Release | : 2014 |
Genre | : Financial crises |
ISBN | : |
This thesis consists of four chapters that focus on the development of new statistical frameworks or tests of financial market crisis and contagion. A new test for financial market contagion based on changes in the fourth order co-moments is proposed in chapter 2 to identify the propagation mechanism of shocks across international financial markets. The proposed approach captures changes in various aspects of the asset return relationships such as cross-market mean and skewness (co-kurtosis) as well as cross-market volatilities (co-volatility). In an empirical application involving the global financial crisis of 2008-09, the results show that significant contagion effects are widespread from the US banking sector to global equity markets and banking sectors through either the co-kurtosis or the co-volatility channel. Chapter 3 analyses nine financial crises from Asia in 1997-98 to the recent European debt crisis of 2010-13 to answer the question of whether the great recession is different to other crises in terms of a range of hypotheses regarding contagion transmission. This chapter examines financial contagion with a focus on the correlation and co-skewness change tests, and the proposed co-volatility change test in chapter 2 to capture changes in the various aspects of the asset return relationships. The empirical results indicate that the great recession and European debt crisis are truly global financial crises. Linkages through financial channels are more likely to result in crisis transmission than through trade, and crises beginning emerging markets transmit unexpectedly, particularly to developed markets. Chapter 4 introduces a new class of multiple-channel tests of financial market contagion in which the transmission channels of financial market crises are identified jointly through the correlation, co-skewness and co-kurtosis of the distribution of returns. The proposed tests yield the correct size in small samples which is typical of crisis periods. Regarding the power of the tests, the multiple-channel tests display the second highest power following the single-channel tests if the data generating process for an experiment contains the transmission channel of contagion consistent with the single-channel test. In an empirical application involving the three financial crises of 2007-12, the results show that the joint tests identify various combinations of transmission channels. Chapter 5 introduces new framework for testing for crisis and contagion using a regime switching skew-normal model (RSSN model). This new approach provides a more general framework for developing five types of crisis and contagion channels simultaneously. Measuring financial contagion within the RSSN model can solve several econometric problems. These are i) market dependence is fully captured by simultaneously considering both second and third order co-moments of asset returns; ii) transmission channels are simultaneously examined; iii) crisis and contagion are distinguished and individually modelled; iv) the market that a crisis originates is endogenous; and v) the timing of a crisis is endogenous. By applying the proposed model to equity markets during the great recession using Bayesian model comparison techniques, the results generally show that crisis and contagion are pervasive across Europe and the US through the second and third moment channels during the great recession.
Author | : Fidel Farias |
Publisher | : GRIN Verlag |
Total Pages | : 108 |
Release | : 2016-07-11 |
Genre | : Business & Economics |
ISBN | : 3668256152 |
Diploma Thesis from the year 2010 in the subject Economics - Finance, grade: 1,3, University of Potsdam (Makroökonomische Theorie und Politik), language: English, abstract: Besonders in jüngster Zeit kommt der Analyse von Ölpreisvolatilität aus volkswirtschaftlicher Sicht eine bedeutende Rolle zu. Gegenwärtig werden bestimmte Rohstoffe wie Rohöl als relevante Anlageinstrumenten von Investoren benutzt, um sich gegen Risiken an den Finanzmärkten abzusichern. Diese Diplomarbeit beschäftigt sich mit der Berechnung von Ölpreisvolatilität in der Zeitperiode von Januar 2002 bis Juli 2009. Dabei werden Berechnungen von Ölpreisvolatilität während der Finanzkrise im Jahre 2008 untersucht. Diese Finanzkrise hat sich tiefgreifend auf die Entwicklung der Preise von Kapital- und Finanzgütern ausgewirkt. Dabei weisen die exzessiven gemessenen Werte von Preisvolatilität während der Finanzkrise auf eine strukturelle Veränderung der Preisbildung von Kapital- und Finanzgütern an den Kapital- und Finanzmärkten hin. Interessanterweise lassen sich bei der Analyse von Ölpreisvolatilität bedeutende Fakten feststellen, deren Existenz die gegenwärtig verwendeten statistischen Modelle, die sich mit der Messung von Preisvolatilität befassen, in künftigen Arbeiten komplementieren könnten. Im Rahmen dieser Diplomarbeit werden fünf wichtige statistische Modelle analysiert: ARCH, GARCH, BEKK-GARCH und Markov-switching Modell. Dazu wird aus den Ölpreisdaten der letzten 8 Jahre die tägliche Preisvolatilität berechnet, um mögliche Relationen zwischen der Volatilität am Ölmarkt und der Volatilität am Finanzmarkt zu untersuchen. Dabei werden diese implementierten Verfahren auf ihre Gültigkeit in Berechnung und Vorhersage von plötzlichen Preisveränderungen untersucht. Insbesondere wird darauf eingegangen unter welchen Bedingungen die Verfahrensergebnisse als zuverlässig gelten. Diese Diplomarbeit wurde im Rahmen eines Forschungspraktikums bei der Organisation erdölexportierender Länder (OPEC) in Wien, Österreich unter Betreuung des Lehrstuhls für Wirtschaftstheorie der Universität Potsdam, fertiggestellt
Author | : David Barnhizer |
Publisher | : SCB Distributors |
Total Pages | : 341 |
Release | : 2019-05-01 |
Genre | : Political Science |
ISBN | : 0999874780 |
Artificial Intelligence/Robotics: Have we opened a Pandora's Box? As AI/robotics eliminates jobs across the spectrum, governmental revenues will plummet while the debt increases dramatically. This crisis of limited resources on all levels—underfunded or non-existent pensions, health problems, lack of savings, and job destruction without comparable job creation—will drive many into homelessness and produce a dramatic rise in violence as we fight over shrinking resources. “Ambitious, deeply researched, and far reaching in its scope and conclusions, Contagion is actually several books in one. Its summary of what AI is and will likely become is a standalone revelation. It also offers a critique of socio-economic ripple effects that verge on dystopian, and essays and “case studies” of specific sectors or regions, notably a chapter on China’s fusion of AI and social control.” JEFF LONG, New York Times Best-selling Author “A sobering look at the far-reaching impact that artificial intelligence may have on the economy, the workforce, democracy and all of humanity. The Artificial Intelligence Contagion is a bellwether for anyone seeking to comprehend the global disruption coming our way.” —DAVID COOPER, President and Technologist , Massive Designs “We see in the rush to develop AI the arrogance of the human species. Often buried by the exuberance over what AI might do is the massive dislocation it can cause. David and Daniel Barnhizer masterfully lead us through the societal challenges AI poses and offer possible solutions that will enable us to survive the AI contagion.” —KENNETH A. GRADY, Member, Advisory Boards, Elevate Services, Inc., MDR Lab, and LARI Ltd. This may be "the scariest book ever".