A Spatial Modelling Approach to Contagion Among Emerging Economies |
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Authors: | Harry H Kelejian George S Tavlas George Hondroyiannis |
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Institution: | (1) University of Maryland, College Park, U.S.A.;(2) Economic Research Department, Bank of Greece, Room 569, 21, E. Venizelos Avenue, Athens, 102 50, Greece;(3) Bank of Greece and Harokopio University, Athens, Greece |
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Abstract: | This paper takes a spatial modelling approach in specifying and testing for contagion among emerging market economies. Our
approach enables us to estimate asymmetries such as the magnitude of contagion of one country upon others, as well as how
that country in turn is affected, on average, by the events of others. The approach also enables us to test for contagion
in a formal, straightforward way and to take account for distance and trade linkages among countries. The results suggest
that contagion is a statistically significant factor in foreign exchange markets and, furthermore, its effects are not uniform
across the countries considered.
JEL Classification Numbers: F30, F32, C10 |
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Keywords: | contagion currency crises spatial modelling |
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