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Endogenous crisis dating and contagion using smooth transition structural GARCH

Citation

Dungey, M and Milunovich, G and Thorp, S and Yang, M, Endogenous crisis dating and contagion using smooth transition structural GARCH, Journal of Banking and Finance, 58 pp. 71-79. ISSN 0378-4266 (2015) [Refereed Article]

Copyright Statement

Copyright 2015 Elsevier B.V.

DOI: doi:10.1016/j.jbankfin.2015.04.006

Abstract

Detecting contagion during financial crises requires the demarcation of crisis periods. We develop a method for endogenously dating both the start and finish of crises, along with measuring contagion effects. Identification is achieved by coupling smooth transition functions with structural GARCH. In an application to US equity, bond and REIT returns for 20012010, we identify four phases; a pre-crisis period to July 2007, two phases of crisis up to and following October 2008, and a post-crisis phase from mid-May 2009. We detect significant contagion during the crisis and find evidence that the post-crisis period has not returned to pre-crisis relations.

Item Details

Item Type:Refereed Article
Keywords:Contagion; Structural GARCH, Global Financial Crisis
Research Division:Economics
Research Group:Applied Economics
Research Field:Macroeconomics (incl. Monetary and Fiscal Theory)
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Macroeconomics not elsewhere classified
Author:Dungey, M (Professor Mardi Dungey)
ID Code:101249
Year Published:2015
Web of Science® Times Cited:7
Deposited By:Tasmanian School of Business and Economics
Deposited On:2015-06-15
Last Modified:2018-04-05
Downloads:0

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