Abdurrahman, Korkmaz (2012): The transmission process of financial crises across the emerging markets: an alternative consideration.
Download (140kB) | Preview
This paper offers an alternative consideration for the transmission process of financial crises across emerging markets. Here, we hypothesized that the interdependence effect could weaken, even disappear completely, and veer during a crisis period as a result of the contagion process. The importance of this hypothesis for the policy implication is also highlighted because it can be validated for many cases by our data.
|Item Type:||MPRA Paper|
|Original Title:||The transmission process of financial crises across the emerging markets: an alternative consideration|
|English Title:||The Transmission Process of Financial Crises across the Emerging Markets: An Alternative Consideration|
|Keywords:||contagion, interdependence, outlier test, financial crisis|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
G - Financial Economics > G0 - General > G01 - Financial Crises
|Depositing User:||Abdurrahman KORKMAZ|
|Date Deposited:||17 Mar 2012 21:13|
|Last Modified:||01 Oct 2016 15:17|
Amemiya, Takeshi, 1977, The maximum likelihood and the nonlinear three-stage least squares estimator in the general nonlinear simultaneous equation model. Econometrica 45(4), 955-968.
Dhrymes, Phoebus J., 1973, Small sample and asymptotic relations between maximum likelihood and three stage least squares estimators. Econometrica 41(2), 357-364.
Dornbusch, Rudiger, Yung C. Park, and Stijn Claessens, 2000, “contagion: understanding how it spreads, World Bank Research Observer 152, 177-197.
Eichengreen, Barry, Andrew Rose, and Charles Wyplosz, 1996, Contagious currency crises: first tests”, Scandinavian Journal of Economics 984, 463-484.
Favero, Carlo A., and Francesco Giavazzi, 2002, Is the international propagation of financial shocks non-linear?. Journal of International Economics 571, 231-246.
Forbes, Kristin J., and Roberto Rigobon, 2002, No contagion, only interdependence: measuring stock market co-movements, Journal of Finance 575, 2223-2261.
Hausman, Jerry A., 1975, An instrumental variable approach to full information estimators for linear and certain nonlinear econometric models. Econometrica 43(4), 727-738.
Korkmaz, Abdurrahman, 2012, An alternative perspective on the contagion phenomenon. forthcoming in International Journal of Economics. Masson, Paul, 1998, Contagion: monsoonal effects, spillovers, and jumps between multiple equilibria. IMF Working Paper Series 98/142.
1999a, Contagion: monsoonal effects, spillovers, and jumps between multiple equilibria. In The Asian Financial Crisis: Causes, Contagion and Consequences. Edited by P.R. Age´nor, M. Miller, D.Vines, and A. Weber. Cambridge: Cambridge University Press.
1999b, Contagion: macroeconomic models with multiple equilibria. Journal of International Money and Finance 8(4), 587- 602.
Pesaran, Hashem, and Andreas Pick, 2007, Econometric issues in the analysis of contagion, Journal of Economic Dynamics & Control 314, 1245-1277.
Zellner, Arnold, and Henri Theil, 1962, Three-stage least squares: simultaneous estimation of simultaneous equations. Econometrica 30(1), 54-78.