Earticle

초록

영어

In this paper, we propose a new approach to model and test the dynamic process of crisis transmission between two markets under market integration. Our model incorporates contagion effects as well as volatility spillovers between two markets by embedding shortterm shock into a longer term equilibrating mechanism. This is technically done by linking a single equation error correction model to a latent factor model. We apply quantile regression to test contagion and find that short-term effect representing a linear relation (or systematic volatility ratio) between two markets plays a key role for contagion. We examine into dynamic contagion process of 2008 US market crash among developed and emerging markets. It is found that some countries suffer from financial contagion from the crash, whereas others survive it. We discuss these results categorically and systematically to provide contagion odds and economic policy cues against contagion to each country.

목차

Abstract
 1. Introduction
 2. Modeling and Testing Contagion under Market Integration
  2.1 Modeling contagion under market integration
  2.2. Testing market breaks under market integration
  2.3 Testing MIH against Contagion
 3. Dynamic Analysis of the Global Financial Crisis
  3.1 Data Description
  3.2. Country-Wise Contagion Analysis of the GFC Spread
  3.3 Summary and Policy Implications
 4. Conclusions
 References
 Appendix

키워드

저자

• Hee Soo Lee [ Department of Business Administration, Sejong University ] Corresponding author
• Tae Yoon Kim [ Department of Statistics, Keimyung University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330