Transmission of Financial Crises and Contagion: A Latent Factor Approach

by Dungey, Mardi; Fry, Renee A.; Gonzalez-Hermosillo, Brenda; Martin, Vance L.

• ISBN13: 9780199739837
• ISBN10: 0199739838
• Format: Hardcover
• Copyright: 2011-01-07
• Publisher: Oxford University Press

Summary

Financial crises often transmit across geographical borders and different asset classes. Modelling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework encompasses a number of other empirical contagion models and why the results between the models differ. The book builds a framework which begins from considering contagion in the bond markets during 1997-1998 across a number of countries and culminates in a model which encompasses multiple assets across multiple countries through over a decade of crisis events from East Asia in 1997-1998 to the sub prime crisis during 2008. Program code to support implementation of similar models is available.

Author Biography

MD: Professor of Economics and Finance, University of Tasmania
RF: Research Associate, Centre for Financial Analysis and Policy
BGH: Deputy Division Chief of Global Financial Stability, Monetary and Capital Markets Department, International Monetary Fund
VM: Professor of Econometrics, University of Melbourne

Table of Contents

Introduction	p. 1
Review of the Empirical Literature	p. 9
Contagion in Global Bond Markets	p. 47
Contagion in Global Equity Markets	p. 79
Are Crises Alike? Comparing Financial Crises	p. 105
Characterizing Global Risk in Emerging Markets	p. 159
Conclusions	p. 189
Bibliography	p. 195
Index	p. 205
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