Transmission of Financial Crises and Contagion: A Latent Factor Approach

Mardi Helen Dungey, Vance L Martin, Brenda Gonzales-Hermosillo, Renee Fry

    Research output: Book/ReportBook

    Abstract

    Financial crises often transmit across geographical borders and different asset classes. Modelling 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.
    Original languageEnglish
    Place of PublicationNew York USA
    PublisherOxford University Press
    Number of pages219
    Edition1st
    ISBN (Print)9780199739837
    Publication statusPublished - 2011

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