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An empirical study to identify shift contagion during the Asian crisis

hal.structure.identifierCentre d'économie et de finances internationales [CEFI]
dc.contributor.authorMarais, Elise*
hal.structure.identifierCentre de Recherche en Economie, Gestion, Modélisation et Informatique Appliquée [CEREGMIA]
dc.contributor.authorBates, Samuel
HAL ID: 183514
ORCID: 0000-0002-2059-8332		*
dc.date.accessioned2009-06-15T09:19:28Z
dc.date.available2009-06-15T09:19:28Z
dc.date.issued2006
dc.identifier.issn1042-4431
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/272
dc.language.isoenen
dc.subjectGranger causality
dc.subjectShift Contagion
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G15en
dc.subject.classificationjelF.F3.F30en
dc.subject.classificationjelC.C3.C32en
dc.titleAn empirical study to identify shift contagion during the Asian crisis
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherCEREGMIA, Université des Antilles et de la Guyane;France
dc.contributor.editoruniversityotherUniversité de la Méditerranée, CEFI;France
dc.description.abstractenThe 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.
dc.relation.isversionofjnlnameJournal of International Financial Markets, Institutions and Money
dc.relation.isversionofjnlvol16
dc.relation.isversionofjnlissue5
dc.relation.isversionofjnldate2006
dc.relation.isversionofjnlpages468–479
dc.relation.isversionofdoi10.1016/j.intfin.2005.08.001
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherHaworth Press
dc.subject.ddclabelEconomie financièreen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2016-03-10T14:49:33Z
hal.identifierhal-01288429*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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