Financial Crisis Contagion and the OPEC Oil Market

Financial market crisis and financial market channel

Financial Contagion in the East Asian Crisis

In this chapter, we analyze empirically the existence and extent of financial contagion in the East Asian crisis. We define financial contagion as a significant increase in correlation of financial variables after controlling fundamentals and common shocks, and we develop an autoregressive model to measure contagion. In particular, we attempt to exclude the common effects of the crisis in South...

International Financial Integration and Crisis Contagion ∗

International financial integration helps to diversify risk but also may increase the transmission of crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with endogenous portfolio choice and collateral constraints. Collateral constraints bind occasionally, depending upon the state of the economy and levels of inherited debt. T...

Quantitative measurement of the contagion effect between US and Chinese stock market during the financial crisis

In this paper, we study the quantitative measurement of contagion effect between US and Chinese stock market during the financial crisis by combining multifractal volatility (MFV) with the copula method. At first, we employ MFV to filter volatility of the twomarkets due to the existence of heteroskedasticity. Thenwe use an improved time-varying Clayton copula to estimate the dynamic lower tail ...

Contagion: a misnomer for financial crisis

It has become commonplace to call the financial institutions at the centre of the most recent financial crisis ‘too big to fail’. This is a misnomer, as institutional size simply happens to be correlated with what really matters: interconnectedness. A big bank that operates in a vacuum is a danger only to itself and its immediate creditors. If it assumes too much risk, it will fail, and the eco...

Stock market contagion during the global financial crisis: A multiscale approach

We propose a multiscale correlation contagion statistic to test for stock market contagion during the global financial crisis (GFC) from the US to the other six G7 and BRIC countries. We find that cross-market correlations between the US and selected countries are conditional on the time scale. Stock market contagion during the GFC is dependent on both the recipient country and the time scale, ...