Transmission of Financial Crises and Contagion: A Latent Factor Approach

ISBN-13: 9780199739837 / Twarda / 2011 / 228 str.

Dungey, Mardi

Opis

Financial crises often transmit across geographical borders and different asset classes. Modeling 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.

Recenzje

Examining the role of contagion during financial crisis is an important and difficult task. This book provides a coherent framework for identification, estimation and testing for the presence of contagion. The importance of the framework is illustrated by a number of applications to many recent finiancial crises. I highly recommend it for students, practitioners and scholars interested in linkages between asset markets.

O autorze

Mardi Dungey: Professor of Economics and Finance, University of Tasmania Renee A. Fry: Research Associate, Centre for Financial Analysis and Policy Brenda Gonzalez-Hermosillo: Deputy Division Chief of Global Financial Stability, Monetary and Capital Markets Department, International Monetary Fund Vance Martin: Professor of Econometrics, University of Melbourne