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More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets

Citation

Dungey, MH and Fry, R, More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets, Journal of Economic Asymmetries, 6, (3) pp. 41-70. ISSN 1703-4949 (2009) [Refereed Article]


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Abstract

The involvement of the world's primary developed credit markets in the United States at the heart of the global financial crisis poses some particularly difficult challenges to the contagion modelling literature. U.S. credit markets have often been used as a benchmark market for global economic conditions, but their intrinsic involvement further complicates our understanding of the transmission of financial market shocks. This paper demonstrates how the involvement of benchmark assets may result in falls in the correlation between asset markets, even in the presence of increased volatility in common or benchmark assets and the presence of contagion.

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Applied Economics
Research Field:Financial Economics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Macroeconomics not elsewhere classified
Author:Dungey, MH (Professor Mardi Dungey)
ID Code:62601
Year Published:2009
Deposited By:Economics and Finance
Deposited On:2010-03-12
Last Modified:2011-11-03
Downloads:0

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