By Mardi Dungey, Renee A. Fry, Brenda Gonzalez-Hermosillo, Vance L. Martin
Monetary crises frequently transmit throughout geographical borders and diverse asset sessions. Modeling those interactions is empirically tough, and plenty of of the proposed tools provide varied effects while utilized to an identical info units. during this e-book the authors set out their paintings on a common framework for modeling the transmission of monetary crises utilizing latent issue types. They exhibit how their framework features a variety of different empirical contagion types and why the implications among the versions range. The e-book builds a framework which starts from contemplating contagion within the bond markets in the course of 1997-1998 throughout a few international locations, and culminates in a version which encompasses a number of resources throughout a number of international locations via over a decade of challenge occasions from East Asia in 1997-1998 to the sub best obstacle in the course of 2008. application code to aid implementation of comparable versions is offered.
Read or Download Transmission of Financial Crises and Contagion: A Latent Factor Approach (CERF Monographs on Finance and the Economy) PDF
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Additional resources for Transmission of Financial Crises and Contagion: A Latent Factor Approach (CERF Monographs on Finance and the Economy)
The remaining seven columns give the results of the contagion tests based on the DFGM test, the FR test with overlapping data (FR-0) and with non-overlapping data (FR-N), the multivariate version of the FR test (FRM), the FG test with an endogeneity correction (FG-E) and a non-endogeneity corrected version (FG-N), and the BKS test. The row headed “Both” in each panel of the table gives the results of a joint test of contagion from the host country to the two recipient countries. The last panel of the table gives the results of the joint test of no contagion amongst all three countries.
The slope dummy, dt , is deﬁned as dt = 1 : t > Tx . 37) captures the effect of contagion. It represents the additional contribution of information on asset returns in country 2 to the non-crisis regression: If there is no change in the relationship the dummy variable provides no new additional information during the crisis period, resulting in κ = 0. 17 Of course, the test statistic to perform the contagion test is invariant to scaling transformations of the regressors, such as the use of σx,1 and σx,2 to standardize zt .
Yi,Ty , i = 1, 2 . This choice of instruments is an extension of the early suggestions of Wald (1940) and Durbin (1954). For example, Wald deﬁned the instrument set as a dummy variable with a 1 signifying observations above the median and a −1 for observations below the median. In the case of contagion and modeling ﬁnancial crises, observations above (below) the median can be expected to correspond to crisis (non-crisis) observations. This suggests that the Rigobon instrument is likely to be more efﬁcient than the instrument chosen by Wald as it uses more information.