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An empirical study to identify shift contagion during the Asian crisis

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Date
2006
Dewey
Economie financière
Sujet
Granger causality; Shift Contagion
JEL code
G.G1.G15; F.F3.F30; C.C3.C32
Journal issue
Journal of International Financial Markets, Institutions and Money
Volume
16
Number
5
Publication date
2006
Article pages
468–479
Publisher
Haworth Press
DOI
http://dx.doi.org/10.1016/j.intfin.2005.08.001
URI
https://basepub.dauphine.fr/handle/123456789/272
Collections
  • LEDa : Publications
Metadata
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Author
Marais, Elise
1719 Centre d'économie et de finances internationales [CEFI]
Bates, Samuel
32566 Centre de Recherche en Economie, Gestion, Modélisation et Informatique Appliquée [CEREGMIA]
Type
Article accepté pour publication ou publié
Abstract (EN)
The paper is an empirical study on contagion during the 1997–1998 Asian crisis. In line with Sander and Kleimeier [Sander, H., Kleimeier, S., 2003. Contagion and causality: an empirical investigation of four Asian crisis episodes. International Financial Markets, Institution and Money 13, 171–186], Granger causality among Asian economies on sovereign debt market is tested. Using a new measure of causality, we attempt to show the existence of shift contagion defined as significant differences in cross-markets links between tranquil and crisis periods. Firstly, non-existent links during the tranquil period play a key role during the crisis. Secondly, causality directions give evidence of the major influence of the South Korean crisis which seems to prevail on investors to reassess the whole region.

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