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Zusatztext Examining the role of contagion during financial crisis is an important and difficult task. This book provides a coherent framework for identification, estimation and testing for the presence of contagion. The importance of the framework is illustrated by a number of applications to many recent finiancial crises. I highly recommend it for students, practitioners and scholars interested in linkages between asset markets. Informationen zum Autor Mardi Dungey: Professor of Economics and Finance, University of TasmaniaRenee A. Fry: Research Associate, Centre for Financial Analysis and PolicyBrenda Gonzalez-Hermosillo: Deputy Division Chief of Global Financial Stability, Monetary and Capital Markets Department, International Monetary FundVance Martin: Professor of Econometrics, University of Melbourne Klappentext Financial crises often transmit across geographical borders and different asset classes. This book provides a generic framework for modeling these transmissions including examples from crises over the past decade and program code for implementation. Zusammenfassung Financial crises often transmit across geographical borders and different asset classes. This book provides a generic framework for modeling these transmissions including examples from crises over the past decade and program code for implementation. Inhaltsverzeichnis Preface vii Acknowledgements ix 1 Introduction 1 2 Review of the Empirical Literature 7 2.1 Introduction 7 2.2 Defining Contagion 8 2.3 AModel of Interdependence . 10 2.4 An EmpiricalModel of Contagion 12 2.4.1 Bivariate Testing . 13 2.4.2 Multivariate Testing . 15 2.4.3 Structural Breaks . 16 2.4.4 Using Just CrisisData 17 2.4.5 Autoregressive and HeteroskedasticDynamics . 17 2.5 Correlation and Covariance Analysis 19 2.5.1 Bivariate Testing . 20 2.5.2 Alternative Formulation . 22 2.5.3 Multivariate Testing . 24 2.5.4 Endogeneity Issues 27 2.5.5 Relationship withOtherModels . 29 2.6 Application 33 2.6.1 Stylized Facts . 34 2.6.2 Implementation Issues 34 2.6.3 Contagion Testing 36 2.7 Conclusions 38 3 Contagion in Global Bond Markets 41 3.1 Introduction 41 3.2 Background of Events and Propositions . 43 3.2.1 Stylized Facts . 43 3.2.2 Propositions 45 3.3 Data 47 3.4 AFactorModel of Bond Spreads 48 3.5 EstimationMethod 54 3.6 Empirical Results . 56 3.7 Conclusion . 59 3.A Data Definitions and Sources 62 3.B Descriptive Statistics . 62 3.C Unit Root Tests 62 3.D EstimatedGARCHModels 63 4 Contagion in Global Equity Markets 65 4.1 Introduction 65 4.2 AModel of Financial Turmoil 66 4.2.1 ABenchmarkModel . 67 4.2.2 AModel Incorporating Contagion 69 4.3 Empirical Issues 72 4.3.1 Data 72 4.3.2 GMMEstimator . 74 4.4 Empirical Results . 75 4.4.1 Parameter Estimates . 75 4.4.2 Volatility Decompositions 77 4.4.3 Structural Break Tests 78 4.4.4 Robustness Checks 78 4.4.5 Comparison with BondMarket Transmissions . 79 4.5 Conclusions 80 5 Are Crises Alike? 83 5.1 Introduction 83 5.2 AModel of Contagion 85 5.3 Empirical Factor Specification 89 5.3.1 Noncrisis Specification 90 5.3.2 Crisis Specification 91 5.4 Data 95 5.4.1 Filters . 96 5.4.2 CrisisDates 97 5.5 Empirical Results . 99 5.5.1 Evidence of Contagion 100 5.5.2 Comparison of Contagion Channels Across Crises . 103 5.5.3 Testing the Channels of Contagion . 104 5.6 Robustness Checks andAdditional Tests 105 5.6.1 CrisisDating SensitivityAnalysis 105 5.6.2 ConditionalMoment Tests 107 5.6.3 Structural Break Tests 107 5.7 Conclusions 108 5.A Model Derivations . 111 5.A.1 Optimal PortfolioWeights 111 5.A.2 Informed Conditional Expectations . 112 5.A.3 Uninformed Conditional Expectations 113 5.A.4 Excess Retu...
