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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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Official URL: http://www.apforum.org/JEA.htm
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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