2 edition of new approach to measuring financial contagion found in the catalog.
new approach to measuring financial contagion
|Statement||Kee-Hong Bae, G. Andrew Karolyi, René M. Stulz.|
|Series||NBER working paper series -- working paper 7913, Working paper series (National Bureau of Economic Research) -- working paper no. 7913.|
|Contributions||Karolyi, G. Andrew., Stulz, René M., National Bureau of Economic Research.|
|LC Classifications||HB1 .W654 no. 7913|
|The Physical Object|
|Pagination|| p. ;|
|Number of Pages||46|
Measuring Financial Contagion: A Copula Approach Juan Carlos Rodriguez† December Abstract: This paper studies ﬁnancial contagion using a methodology that goes beyond the simple analysis of correlation breakdown, and, at the same time, is careful in the characterization of nonlinearity and asymptotic dependence. Abstract. Before , the term “contagion” usually referred to the spread of a medical disease. A Lexis-Nexis search for contagion before this year finds hundreds of examples in major newspapers, almost none of which refer to turmoil in international financial markets. 1 This changed in July of A currency crisis in Thailand quickly spread throughout East Asia and Cited by:
Systemic Risk, Stress Testing, and Financial Contagion: Their Interaction and Measurement: /ch Despite the acknowledgment of the relevance of Systemic Risk, there is a lack of consensus on its definition and, more importantly, on the way it should beCited by: 8. In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with respect to their size, geographical position, income sources, and systemic importance for the period from to , using a state-dependent sensitivity value-at-risk model, conditioning on the state of the financial market. Low during normal times, the same Author: Alin Marius Andries, Elena Galasan.
In Financial Crisis, Contagion, and Containment: From Asia to Argentina, Padma Desai addresses important concerns about emerging market economies’ compatibility with inherently volatile global financial markets. Desai is the Gladys and Roland Harriman Professor of Comparative Economic Systems and director of the Center for Transition Economies at . Systemic Risk, Stress Testing, and Financial Contagion: Their Interaction and Measurement: /ch By using the proposed framework, it is also possible to perform stress testing in a coherent way, including second round Cited by: 8.
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A New Approach to Measuring Financial Contagion Kee-Hong Bae Korea University G. Andrew Karolyi Ohio State University Rene´ M. Stulz Ohio State University and NBER This article proposes a new approach to evaluate contagion in financial markets.
Our measure of contagion captures the coincidence of extreme return shocks acrossFile Size: KB. A New Approach to Measuring Financial Contagion Kee-Hong Bae, G. Andrew Karolyi, Rene M. Stulz.
NBER Working Paper No. Issued in September NBER Program(s):Asset Pricing Program, Corporate Finance Program, International Finance and Macroeconomics Program This paper proposes a new approach to evaluate contagion in financial markets. A New Approach to Measuring Financial Contagion Article in Review of Financial Studies 16(3) February with Reads How we measure 'reads'.
Get this from a library. A new approach to measuring financial contagion. new approach to measuring financial contagion book Bae; G Andrew Karolyi; René M Stulz; National Bureau of Economic Research.]. Downloadable (with restrictions).
This article proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the coincidence of extreme return shocks across countries within a region and across regions. We characterize the extent of contagion, its economic significance, and its determinants using a multinomial logistic regression model.
Get this from a library. A new approach to measuring financial contagion. [Kee-Hong Bae; G Andrew Karolyi; René M Stulz; National Bureau of Economic Research.] -- Abstract: This paper proposes a new approach to evaluate contagion in financial markets.
Our measure of contagion captures the co-incidence of extreme return shocks across countries within a region. A New Approach to Measuring Financial Contagion Kee-Hong Bae Korea University G.
Andrew Karolyi Ohio State University Rene M. Stulz Ohio State University and NBER This article proposes a new approach to evaluate contagion in financial markets.
Our measure of contagion captures the coincidence of extreme return shocks across. A new approach to measuring financial contagion Kee-Hong Bae, G. Andrew Karolyi, and René M. Stulz* Abstract This paper proposes a new approach to evaluate contagion in financial markets.
Our measure of contagion captures the co-incidence of Cited by: This paper models dependence with switching-parameter copulas to study financial contagion. Using daily returns from five East Asian stock indices during the Asian crisis, and from four Latin American stock indices during the Mexican crisis, it finds evidence of changing dependence during periods of by: Author(s): Kee-Hong Bae & G.
Andrew Karolyi & Rene M. Stulz. Abstract: This article proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the coincidence of extreme return shocks across countries within a region and across regions.
We characterize the extent of contagion, its economic significance, and its. The World Economic Forum is an independent international organization committed to improving the state of the world by engaging business, political, academic and other leaders of society to shape global, regional and industry agendas.
Incorporated as a not-for-profit foundation inand headquartered in Geneva, Switzerland, the Forum is tied to no. A New Approach to Measuring Financial Contagion Article in Review of Financial Studies 16(3) July with 35 Reads How we measure 'reads'.
Measuring financial contagion: a copula approach Citation for published version (APA): Rodriguez, J. Measuring financial contagion: a copula by: w A New Approach to Measuring Financial Contagion: Forbes: Are Trade Linkages Important Determinants of Country Vulnerability to Crises.
Forbes and Rigobon: w No Contagion, Only Interdependence: Measuring Stock Market Co-movements: Forbes and Rigobon: w Contagion in Latin America: Definitions, Measurement, and Policy Implications.
The authors would like to thank Stijn Claessens, Rudiger Dombusch, and Yung Chul Park for organizing the conference “International Financial Contagion: How it Spreads and How it Can Be Stopped” for which this paper was written.
Further thanks to the rapporteur, Holger Wolf, and conference participants for useful comments and by: extreme “bad days” during the financial crisis). In this study, we develop and empirically evaluate a new measure of bank risk.
Our approach begins with the observation a bank’s primary source of risk that comes from its loan portfolio. Appendix III shows that, irrespective of size, a. Financial contagion refers to "the spread of market disturbances – mostly on the downside – from one country to the other, a process observed through co-movements in exchange rates, stock prices, sovereign spreads, and capital flows".
Financial contagion can be a potential risk for countries who are trying to integrate their financial system with international financial markets.
We construct an empirical measure of expected network spillovers that arise through default cascades for the U.S. financial system for the period Compared to existing studies, we include a much larger cross section of U.S. financial firms that comprises all bank holding companies, all broker-dealers, and all insurance companies, and consider their entire.
"Financial Contagion: The Viral Threat to the Wealth of Nations covers a lot of territory. It is, of course, terribly important to analyze case histories to discover potential triggers, mechanisms of transmission, and viable ways to contain the damage of financial : Robert W.
Kolb. Simon Johnson, former chief economist at the International Monetary Fund, is the co-author of “13 Bankers.”. In an interview with The New York Times in July, Sheila Bair, the departing chairwoman of the Federal Deposit Insurance Corporation, said of her experience over the last few years: “They would say, ‘You have to do this, or the system will go down.’.
Bubbles and Contagion in Financial Markets explores concepts, intuition, theory, and models. Fundamental valuation, share price development in the presence of asymmetric information, the speculative behavior of noise traders and chartists, herding and the feedback and learning mechanisms that surge within the markets are key aspects of these dynamics.5/5(2).The international financial crisis has caused broad impact and serious consequences to international economic order and the economic development of every country.
Therefore, making modeling research on the effect of crisis contagion between some economic markets in order to take timely measures to prevent the further spread of contagion is of great significance for Author: Yi Xian Chai, Dan Liu, Zhi Bo Zhang, Yan Li Xu.Systemic vulnerabilities are an important, if often overlooked, aspect of a financial system’s stress testing regime.
This article looks back at the Asian financial crisis of and applies new methods of measuring systemic risk and pinpointing weaknesses, which can be used by today’s financial institutions and regulators.