Some searches may not work properly. We apologize for the inconvenience.
My bibliography Save this paperSome Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005. "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December.
References listed on IDEAS
- Garry J. Schinasi & R. Todd Smith, 2000.
"Portfolio Diversification, Leverage, and Financial Contagion,"
IMF Staff Papers, Palgrave Macmillan, vol. 47(2), pages 1-1.
- T. Todd Smith & Mr. Garry J. Schinasi, 1999. "Portfolio Diversification, Leverage, and Financial Contagion," IMF Working Papers 1999/136, International Monetary Fund.
- Kaminsky, Graciela L. & Reinhart, Carmen M., 2000.
"On crises, contagion, and confusion,"
Journal of International Economics, Elsevier, vol. 51(1), pages 145-168, June.
- Reinhart, Carmen & Kaminsky, Graciela, 1998. "On crises, contagion, and confusion," MPRA Paper 13709, University Library of Munich, Germany.
- Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1996.
"Contagious Currency Crises,"
NBER Working Papers
5681, National Bureau of Economic Research, Inc.
- Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1996. "Contagious Currency Crises," CEPR Discussion Papers 1453, C.E.P.R. Discussion Papers.
- Kaminsky, Graciela L. & Schmukler, Sergio L., 1999.
"What triggers market jitters?: A chronicle of the Asian crisis,"
Journal of International Money and Finance, Elsevier, vol. 18(4), pages 537-560, August.
- Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters? A chronicle of the Asian crisis," Policy Research Working Paper Series 2094, The World Bank.
- Graciela L. Kaminsky & Sergio L. Schmukler, 1999. "What triggers market jitters: a chronicle of the Asian crisis," International Finance Discussion Papers 634, Board of Governors of the Federal Reserve System (U.S.).
- Corsetti, Giancarlo & Pesenti, Paolo & Roubini, Nouriel, 1999.
"What caused the Asian currency and financial crisis?,"
Japan and the World Economy, Elsevier, vol. 11(3), pages 305-373, October.
- Corsetti, G. & Pesenti, P. & Roubini, N., 1998. "What Caused the Asian Currency and Financial Crisis?," Papers 343, Banca Italia - Servizio di Studi.
- Giancarlo Corsetti & Paolo Pesenti & Nouriel Roubini, 1998. "What Caused the Asian Currency and Financial Crisis?," Temi di discussione (Economic working papers) 343, Bank of Italy, Economic Research and International Relations Area.
- Michael D. Bordo & Antu P. Murshid, 2000. "Are Financial Crises Becoming Increasingly More Contagious? What is the Historical Evidence on Contagion?," NBER Working Papers 7900, National Bureau of Economic Research, Inc.
- Calvo, Guillermo A. & Mendoza, Enrique G., 2000.
"Rational contagion and the globalization of securities markets,"
Journal of International Economics, Elsevier, vol. 51(1), pages 79-113, June.
- Guillermo A. Calvo & Enrique G. Mendoza, 1999. "Regional Contagion and the Globalization of Securities Markets," NBER Working Papers 7153, National Bureau of Economic Research, Inc.
- Sebastian Edwards, 1998. "Interest Rate Volatility, Capital Controls, and Contagion," NBER Working Papers 6756, National Bureau of Economic Research, Inc.
- Laura E. Kodres & Matthew Pritsker, 2002. "A Rational Expectations Model of Financial Contagion," Journal of Finance, American Finance Association, vol. 57(2), pages 769-799, April.
- Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia, 2001.
"Correlation Analysis of Financial Contagion: What One Should Know before Running a Test,"
Temi di discussione (Economic working papers)
408, Bank of Italy, Economic Research and International Relations Area.
- Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia, 2001. "Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test," Working Papers 822, Economic Growth Center, Yale University.
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2001. "Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test," Center Discussion Papers 28420, Yale University, Economic Growth Center.
- William B. English & Mico Loretan, 2000. "Evaluating \"correlation breakdowns\" during periods of market volatility," International Finance Discussion Papers 658, Board of Governors of the Federal Reserve System (U.S.).
- Brian H. Boyer & Michael S. Gibson & Mico Loretan, 1997. "Pitfalls in tests for changes in correlations," International Finance Discussion Papers 597, Board of Governors of the Federal Reserve System (U.S.).
- repec:bla:scandj:v:98:y:1996:i:4:p:463-84 is not listed on IDEAS
- King, Mervyn A & Wadhwani, Sushil, 1990.
"Transmission of Volatility between Stock Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
- Mervyn A. King & Sushil Wadhwani, 1989. "Transmission of Volatility Between Stock Markets," NBER Working Papers 2910, National Bureau of Economic Research, Inc.
- Mr. Ranil M Salgado & Mr. Luca A Ricci & Mr. Francesco Caramazza, 2000. "Trade and Financial Contagion in Currency Crises," IMF Working Papers 2000/055, International Monetary Fund.
- William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005.
"Long-Term Global Market Correlations,"
The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
- William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2001. "Long-Term Global Market Correlations," NBER Working Papers 8612, National Bureau of Economic Research, Inc.
- William Goetzmann & Lingfeng Li & K. Rouwenhorst, 2001. "Long-Term Global Market Correlations," Yale School of Management Working Papers ysm237, Yale School of Management, revised 01 Jan 2008.
- Marcello Pericoli & Massimo Sbracia, 2003.
"A Primer on Financial Contagion,"
Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, September.
- Marcello Pericoli & Massimo Sbracia, 2001. "A Primer on Financial Contagion," Temi di discussione (Economic working papers) 407, Bank of Italy, Economic Research and International Relations Area.
- Buiter,Willem H. & Corsetti,Giancarlo & Pesenti,Paolo A., 2001.
"Financial Markets and European Monetary Cooperation,"
Cambridge Books,
Cambridge University Press, number 9780521794404, November.
- Buiter,Willem H. & Corsetti,Giancarlo & Pesenti,Paolo A., 1998. "Financial Markets and European Monetary Cooperation," Cambridge Books, Cambridge University Press, number 9780521495479, November.
- Mr. Taimur Baig & Mr. Ilan Goldfajn, 2000.
"The Russian Default and the Contagion to Brazil,"
IMF Working Papers
2000/160, International Monetary Fund.
- Taimur Baig & Ilan Goldfajn, 2000. "The Russian default and the contagion to Brazil," Textos para discussão 420, Department of Economics PUC-Rio (Brazil).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Marcello Pericoli & Massimo Sbracia, 2003.
"A Primer on Financial Contagion,"
Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, September.
- Marcello Pericoli & Massimo Sbracia, 2001. "A Primer on Financial Contagion," Temi di discussione (Economic working papers) 407, Bank of Italy, Economic Research and International Relations Area.
- Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin, 2005.
"Empirical modelling of contagion: a review of methodologies,"
Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 9-24.
- Mr. Mardi Dungey & Ms. Renee Fry & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo, 2004. "Empirical Modeling of Contagion: A Review of Methodologies," IMF Working Papers 2004/078, International Monetary Fund.
- Martin, V. & Dungey & M., 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Far Eastern Meetings 574, Econometric Society.
- Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society.
- MARAIS Elise, 2004. "La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique," International Finance 0404003, University Library of Munich, Germany.
- Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
- Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284, Edward Elgar Publishing.
- Sarai Criado Nuevo, "undated".
"Some critics to the contagion correlation test,"
Working Papers on International Economics and Finance
05-01, FEDEA.
- Sarai Criado Nuevo, 2005. "Some critics to the contagion correlation test," Working Papers 05-01, Asociación Española de Economía y Finanzas Internacionales.
- Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia, 2001.
"Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test,"
Working Papers
822, Economic Growth Center, Yale University.
- Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia, 2001. "Correlation Analysis of Financial Contagion: What One Should Know before Running a Test," Temi di discussione (Economic working papers) 408, Bank of Italy, Economic Research and International Relations Area.
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2001. "Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test," Center Discussion Papers 28420, Yale University, Economic Growth Center.
- Piersanti, Giovanni, 2012. "The Macroeconomic Theory of Exchange Rate Crises," OUP Catalogue, Oxford University Press, number 9780199653126, Decembrie.
- Elise MARAIS, 2007. "Mécanismes De Propag Ation Régionale De La Crise Boursière Asiatique," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 26, pages 13-33.
- Mardi Dungey & Rene Fry & Vance L. Martin, 2006. "Correlation, Contagion, and Asian Evidence," Asian Economic Papers, MIT Press, vol. 5(2), pages 32-72, Spring/Su.
- Bayoumi, Tamim & Fazio, Giorgio & Kumar, Manmohan & MacDonald, Ronald, 2007.
"Fatal attraction: Using distance to measure contagion in good times as well as bad,"
Review of Financial Economics, Elsevier, vol. 16(3), pages 259-273.
- Tamim Bayoumi & Giorgio Fazio & Manmohan Kumar & Ronald MacDonald, 2007. "Fatal attraction: Using distance to measure contagion in good times as well as bad," Review of Financial Economics, John Wiley & Sons, vol. 16(3), pages 259-273.
- Michael Chui & Simon Hall & Ashley Taylor, 2004. "Crisis spillovers in emerging market economies: interlinkages, vulnerabilities and investor behaviour," Bank of England working papers 212, Bank of England.
- Baur, Dirk G. & Fry, Renée A., 2009. "Multivariate contagion and interdependence," Journal of Asian Economics, Elsevier, vol. 20(4), pages 353-366, September.
- Gravelle, Toni & Kichian, Maral & Morley, James, 2006.
"Detecting shift-contagion in currency and bond markets,"
Journal of International Economics, Elsevier, vol. 68(2), pages 409-423, March.
- Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002 58, Society for Computational Economics.
- Cifarelli, Giulio & Paladino, Giovanna, 2006. "Volatility co-movements between emerging sovereign bonds: Is there segmentation between geographical areas?," Global Finance Journal, Elsevier, vol. 16(3), pages 245-263, March.
- Gimet, Celine, 2007.
"Conditions necessary for the sustainability of an emerging area: The importance of banking and financial regional criteria,"
Journal of Multinational Financial Management, Elsevier, vol. 17(4), pages 317-335, October.
- Céline Gimet, 2007. "Conditions necessary for the sustainability of an emerging area: the importance of banking and financial regional criteria," Post-Print halshs-00356066, HAL.
- Marcel Fratzscher, 2003.
"On currency crises and contagion,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(2), pages 109-129.
- Marcel Fratzscher, 2000. "On Currency Crises and Contagion," Working Paper Series WP00-9, Peterson Institute for International Economics.
- Fratzscher, Marcel, 2002. "On currency crises and contagion," Working Paper Series 139, European Central Bank.
- Taylor, Mark & Mody, Ashoka, 2003. "Common Vulnerabilities," CEPR Discussion Papers 3759, C.E.P.R. Discussion Papers.
- Graciela L. Kaminsky & Carmen M. Reinhart & Carlos A. Végh, 2003.
"The Unholy Trinity of Financial Contagion,"
Journal of Economic Perspectives, American Economic Association, vol. 17(4), pages 51-74, Fall.
- Reinhart, Carmen & Kaminsky, Graciela & Vegh, Carlos, 2002. "Two Hundred Years of Contagion," MPRA Paper 13229, University Library of Munich, Germany.
- Reinhart, Carmen & Kaminsky, Graciela & Vegh, Carlos, 2003. "The unholy trinity of financial contagion," MPRA Paper 13878, University Library of Munich, Germany.
- Graciela L. Kaminsky & Carmen Reinhart & Carlos A. Vegh, 2003. "The Unholy Trinity of Financial Contagion," NBER Working Papers 10061, National Bureau of Economic Research, Inc.
- Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS.
More about this item
Keywords
Contagion; Financial crisis; Factor model; Correlation analysis;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- F30 - International Economics - - International Finance - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2003-02-18 (Financial Markets)
- NEP-IFN-2003-02-18 (International Finance)
- NEP-RMG-2003-02-18 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cpr:ceprdp:3310. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://www.cepr.org .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.