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A Spatial Modelling Approach to Contagion Among Emerging Economies
Authors:Harry H Kelejian  George S Tavlas  George Hondroyiannis
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
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
Keywords:contagion  currency crises  spatial modelling
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