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Article Dans Une Revue Panoeconomicus Année : 2009

The Asian Crisis Contagion: A Dynamic Correlation
Approach Analysis

Résumé

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

halshs-00404386 , version 1 (16-07-2009)

Identifiants

Citer

Essahbi Essaadi, Jamel Jouini, Wajih Khallouli. The Asian Crisis Contagion: A Dynamic Correlation
Approach Analysis. Panoeconomicus, 2009, 56 (2), pp.241-260. ⟨10.2298/PAN0902241E⟩. ⟨halshs-00404386⟩
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