The Asian Crisis Contagion: A Dynamic Correlation <br />Approach Analysis - HAL Access content directly
Journal articles Panoeconomicus Year : 2009

The Asian Crisis Contagion: A Dynamic Correlation
Approach Analysis

Abstract

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.
Main file
Thumbnail
PanoeconomicusEssaadi.pdf ( 724.3 Ko ) Download
Origin : Files produced by the author(s)
Loading...

Dates and versions

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

Identifiers

Cite

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⟩
155 View
305 Download
Last update date on 5/26/24
How are these indicators produced

Altmetric

Share

Gmail Facebook Twitter LinkedIn More