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Unravelling Financial Market Linkages During Crises
Citation
Dungey, MH and Martin, V, Unravelling Financial Market Linkages During Crises, Journal of Applied Econometrics, 22, (1) pp. 89-119. ISSN 0883-7252 (2007) [Refereed Article]
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Copyright Statement
The definitive published version is available online at: http://interscience.wiley.com
DOI: doi:10.1002/jae.936
Abstract
An empirical model of multiple asset classes across countries is formulated in a latent factor framework. A special feature of the model is that financial market linkages during periods of financial crises, including spillover and contagion effects, are formally specified. The model also captures a range of common factors including global shocks, country and market shocks, and idiosyncratic shocks. The framework is applied to modelling linkages between currency and equity markets during the East Asian financial crisis of 1997-98. The results provide strong evidence that cross-market links are important. Spillovers have a relatively larger effect on volatility than contagion, but both are statistically significant.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Research Division: | Commerce, Management, Tourism and Services |
| Research Group: | Banking, finance and investment |
| Research Field: | Financial econometrics |
| Objective Division: | Economic Framework |
| Objective Group: | Macroeconomics |
| Objective Field: | Monetary policy |
| UTAS Author: | Dungey, MH (Professor Mardi Dungey) |
| ID Code: | 56987 |
| Year Published: | 2007 |
| Web of Science® Times Cited: | 113 |
| Deposited By: | Economics and Finance |
| Deposited On: | 2009-06-11 |
| Last Modified: | 2010-05-29 |
| Downloads: | 0 |
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