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1.
This article analyzes how external crises spread across countries.The authors analyze the behavior of four alternative crisisindicators in a sample of 20 countries during three well-knowncrises: the 1982 debt crisis, the 1994 Mexican crisis, and the1997 Asian crisis. The objective is twofold: to revisit thetransmission channels of crises, and to analyze whether capitalcontrols, exchange rate flexibility, and debt maturity structureaffect the extent of contagion. The results indicate that thereis a strong neighborhood effect. Trade links and similarityin precrisis growth also explain (to a lesser extent) whichcountries suffer more contagion. Both debt composition and exchangerate flexibility to some extent limit contagion, whereas capitalcontrols do not appear to curb it.  相似文献   

2.
This paper develops a test of contagion in financial markets by considering a measure of co-movement based on the notion of common cycles to detect short-run co-movements between a set of time series. We apply our methodology to the international effects of the 1994 Mexican peso crisis and the 1997 Asian crisis. Our results can be interpreted as evidence of a high level of market co-movement during all states of the world and, therefore, question the hypothesis of shift-contagion in the transmission of financial shocks during the 1997 Asian crisis, and to a lesser extent, the 1994 Mexican crisis.  相似文献   

3.
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.  相似文献   

4.
No Contagion, Only Interdependence: Measuring Stock Market Comovements   总被引:21,自引:0,他引:21  
Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion is defined as a significant increase in market comovement after a shock to one country, previous work suggests contagion occurred during recent crises. This paper shows that correlation coefficients are conditional on market volatility. Under certain assumptions, it is possible to adjust for this bias. Using this adjustment, there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash. There is a high level of market comovement in all periods, however, which we call interdependence.  相似文献   

5.
This paper studies whether trade credit is used as a substitute for bank credit in crisis periods in Latin America. The sample is composed of firms listed on the Argentine, Brazilian, and Mexican stock exchanges from 1994 to 2009. For the small firms, the substitution hypothesis was not rejected. However, this hypothesis was not confirmed homogeneously for all the firms during the crises. Unlike Brazilian and Argentine firms, Mexican firms use more cash reserves than trade credit. The big firms tend to use other financing sources. A pattern of trade credit use by sector has not yet been found.  相似文献   

6.
We investigate the comovement of daily returns from 13 Asian and non‐Asian markets before and after the advent of the Asian crisis in July 1997. For individual pairs of markets, our analysis shows a seven‐fold increase in feedback relations. For the markets as a group, we find a reduction in the number of common factors that generate returns. Since the post‐crisis period included the collapse of the Russian market and attack on the Brazilian real, we also analyze six three‐month subperiods surrounding the crisis. We find that the perceived increase in comovement during the post‐crisis interval was the result of subperiod transitory shocks.  相似文献   

7.
This paper examines whether the dynamic behaviour of stock market volatility for four Latin American stock markets (Argentina, Brazil, Chile and Mexico) and a mature stock market, that of the US, has changed during the last two decades. This period corresponds to years of significant financial and economic development in these emerging economies during which several financial crises have taken place. We use weekly data for the period January 1988 to July 2006 and we conduct our analysis in two parts. First, using the estimation of a Dynamic Conditional Correlation model we find that the short-term interdependencies between the Latin America stock markets and the developed stock market strengthened during the Asian, Latin American and Russian financial crises of 1997–1998. However, after the initial period of disturbance they eventually returned to almost their initial (relatively low) levels. Second, the estimation of a SWARCH-L model reveals the existence of more than one volatility regime and we detect a significant increased volatility during the period of crisis for all the markets under examination, although the capital flows liberalization process has only caused moderate shifts in volatility.  相似文献   

8.
This paper examines financial contagion, that is, whether the cross-market linkages in financial markets increase after a shock to a country. We use a new measure of local dependence (introduced by Tjøstheim and Hufthammer (2013)) to study the contagion effect. The central idea of the new approach is to approximate an arbitrary bivariate return distribution by a family of Gaussian bivariate distributions. At each point of the return distribution there is a Gaussian distribution that gives a good approximation at that point. The correlation of the approximating Gaussian distribution is taken as the local correlation in that neighbourhood. By examining the local Gaussian correlation before the shock (in a stable period) and after the shock (in the crisis period), we are able to test whether contagion has occurred by a bootstrap testing procedure. The use of local Gaussian correlation is compared to other methods of studying contagion. Further, the bootstrap test is examined in a Monte Carlo study, and shows good level and power properties. We illustrate our approach by re-examining the Mexican crisis of 1994, the Asian crisis of 1997–1998 and the financial crisis of 2007–2009. We find evidence of contagion based on our new procedure and are able to describe the nonlinear dependence structure of these crises.  相似文献   

9.
We propose an identified structural GARCH model to disentangle the dynamics of financial market crises. We distinguish between the hypersensitivity of a domestic market in crisis to news from foreign non-crisis markets, and the contagion imported to a tranquil domestic market from foreign crises. The model also enables us to connect unobserved structural shocks with their source markets using variance decompositions and to compare the size and dynamics of impulses during crises periods with tranquil period impulses. To illustrate, we apply the method to data from the 1997–1998 Asian financial crisis which consists of a complicated set of interacting crises. We find significant hypersensitivity and contagion between these markets but also show that links may strengthen or weaken. Impulse response functions for an equally-weighted equity portfolio show the increasing dominance of Korean and Hong Kong shocks during the crises and covariance responses demonstrate multiple layers of contagion effects.  相似文献   

10.
We investigate breaks in financial spillovers between the US and eight South-East Asian capital markets before and during the 1997 Asian crisis. We construct threshold vector autoregressive models and apply novel techniques to test whether causality patterns between markets are characterized by one or two regimes. Linkages between the US and Asian markets are shown to follow the threshold model with two regimes, turmoil and tranquility, pointing to differences in cross-border return spillovers in stable and crisis periods. The causality analysis shows that spillovers between US and Asian markets become stronger in the turmoil regime.  相似文献   

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