Detecting Shift Contagion in Currency and Bond Markets
نویسندگان
چکیده
It is well known that equity, currency, or banking crises generate substantial real costs for the country in which they occur. Authorities and financial market participants have often been concerned that these crises would spill over or spread, leading to financial system volatility or crises elsewhere in the world. The recent Mexican, Asian, and Russian crises are examples where shocks originating in one country are believed to have spread to other nations and to have resulted in significant costs to the international community.
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