Journal ArticleDOI
Detecting shift-contagion in currency and bond markets
TLDR
In this article, the authors investigated why financial market crises often increase the interdependence between assets associated with different countries, and developed a method for detecting shift-contagion with three notable features.About:
This article is published in Journal of International Economics.The article was published on 2006-03-01. It has received 96 citations till now. The article focuses on the topics: Bond market & Volatility (finance).read more
Citations
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The Unholy Trinity of Financial Contagion
TL;DR: Fast and furious contagion as discussed by the authors is characterized by "the unholy trinity": (i) a large surge in capital flows; (ii) they come as a surprise; and (iii) they involve a leveraged common creditor.
Posted Content
Dynamical Hierarchical Tree in Currency Markets
TL;DR: A new method to describe dynamical patterns of the real exchange rate movements time series and to analyze contagion in currency crisis is introduced, combining the tools of Symbolic Time Series Analysis with the nearest neighbor single linkage clustering algorithm.
Journal ArticleDOI
Oil prices, exchange rates and asset prices
TL;DR: In this article, the authors examined the relationship between oil prices, the US dollar and asset prices, and exploited the heteroskedasticity for the identification of causality in a multifactor model.
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Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis
TL;DR: In this paper, an empirical model based on the heterogeneous agents literature was proposed to estimate the price changes of Hong Kong and Thailand surrounding the Asian crisis, and they found that the three sources are relevant and that their relative price impact fluctuates conditional on price impact in the previous period.
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Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis
TL;DR: In this paper, the authors study the dynamic connectedness among 11 Asia-Pacific exchange rates from September 1994 to August 2019, not only on average but also in the left and right tails.
References
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Journal ArticleDOI
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.
TL;DR: In this article, the parameters of an autoregression are viewed as the outcome of a discrete-state Markov process, and an algorithm for drawing such probabilistic inference in the form of a nonlinear iterative filter is presented.
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No Contagion, Only Interdependence: Measuring Stock Market Comovements
TL;DR: The authors showed that correlation coefficients are conditional on market volatility, and that there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash.
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No Contagion, Only Interdependence: Measuring Stock Market Co-Movements
TL;DR: In this article, the authors examined stock market co-movements and applied these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash.
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Inference when a nuisance parameter is not identified under the null hypothesis
TL;DR: In this paper, the asymptotic distribution of standard test statistics is described as functionals of chi-square processes, and a transformation based upon a conditional probability measure yields an asymptic distribution free of nuisance parameters, which can be easily approximated via simulation.
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Time‐Varying World Market Integration
Geert Bekaert,Campbell R. Harvey +1 more
TL;DR: In this article, a measure of capital market integration arising from a conditional regime-switching model is proposed to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample.