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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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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
Author:Dungey, MH (Professor Mardi Dungey)
ID Code:56987
Year Published:2007
Web of Science® Times Cited:79
Deposited By:Economics and Finance
Deposited On:2009-06-11
Last Modified:2010-05-29
Downloads:0

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