An empirical study to identify shift contagion during the Asian crisis
Marais, Elise; Bates, Samuel (2006), An empirical study to identify shift contagion during the Asian crisis, Journal of International Financial Markets, Institutions and Money, 16, 5, p. 468–479. 10.1016/j.intfin.2005.08.001
TypeArticle accepté pour publication ou publié
Journal nameJournal of International Financial Markets, Institutions and Money
MetadataShow full item record
Centre d'économie et de finances internationales [CEFI]
Centre de Recherche en Economie, Gestion, Modélisation et Informatique Appliquée [CEREGMIA]
Abstract (EN)The paper is an empirical study on contagion during the 1997–1998 Asian crisis. In line with Sander and Kleimeier [Sander, H., Kleimeier, S., 2003. Contagion and causality: an empirical investigation of four Asian crisis episodes. International Financial Markets, Institution and Money 13, 171–186], Granger causality among Asian economies on sovereign debt market is tested. Using a new measure of causality, we attempt to show the existence of shift contagion defined as significant differences in cross-markets links between tranquil and crisis periods. Firstly, non-existent links during the tranquil period play a key role during the crisis. Secondly, causality directions give evidence of the major influence of the South Korean crisis which seems to prevail on investors to reassess the whole region.
Subjects / KeywordsGranger causality; Shift Contagion
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