Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes

Renee Fry-McKibbin, Yu-Ling Hsiao, Chrismin Tang

    Research output: Contribution to journalArticle

    Abstract

    Episodes of extraordinary turbulence in global financial markets are examined during nine crises ranging from the Asian crisis in 1997-98 to the recent European debt crisis of 2010-13. After dating each crisis using a regime switching model, the analysis focuses on changes in the dependence structures of equity markets through correlation, coskewness and covolatility to address a range of hypotheses regarding contagion transmission. The results show that the great recession is a true global financial crisis. Finance linkages are more likely to result in crisis transmission than trade and emerging market crises transmit unexpectedly, particularly to developed markets.
    Original languageEnglish
    Pages (from-to)521-570
    JournalOpen Economies Review
    Volume25
    Issue number3
    DOIs
    Publication statusPublished - 2014

    Fingerprint Dive into the research topics of 'Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes'. Together they form a unique fingerprint.

    Cite this