Transmission of Financial Crises and Contagion:: A Latent Factor Approach (CERF Monographs on Finance and the Economy)

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. Contents 6 1 Introduction 14 2 Review of the Empirical Literature 22 3 Contagion in Global Bond Markets 60 4 Contagion in Global Equity Markets 92 5 Are Crises Alike? Comparing Financial Crises 118 6 Characterizing Global Risk in Emerging Markets 172 7 Conclusions 202 Bibliography 208 Index 218 A 218 B 219 C 220 D 222 E 223 F 224 G 224 H 225 I 225 J 225 K 226 L 226 M 226 N 227 O 228 P 228 R 228 S 230 T 230 U 231 V 232 W 232 X 232 Y 232 Z 232 Financial crises often transmit across geographical borders and different asset classes. This book provides a generic framework for modeling these transmissions including examples from crises over the past decade and program code for implementation. Mardi Dungey ... [et Al.]. Includes Bibliographical References And Index.