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Autre Publication Scientifique Année : 2004

The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

Résumé

In this paper, we are interested in testing for contagion caused by the Thai bath collapse in July 1997. In line with earlier work, shift-contagion is defined as a structural change in the international propagation mechanisms of financial shocks. We adopt the Bai and Perron's (1998) structural break approach to detect the endogenous break points in the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach allows solving the misspecification problem of crisis window. Our results indicate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.
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Dates et versions

halshs-00201220 , version 1 (27-12-2007)

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  • HAL Id : halshs-00201220 , version 1

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Essahbi Essaadi, Jamel Jouini, Wajih Khallouli. The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis. 2004. ⟨halshs-00201220⟩
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