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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2019.1
- 수록면
- 129 - 155 (27page)
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In this paper, we provide an assessment of stock market contagionbased on the multivariate GARCH-in-VAR model, where the meanequation of VAR involves conditional volatility. Our specification ofGARCH-in-VAR can detect cross-market linkages by the risk-toreturnvolatility effect of the conditional volatility in VAR as well as thereturn-to-return interdependence effect of the structural shocks. Significant changes in interdependence and the volatility effectprovide important evidence for contagion caused by increases incross-market linkages through these two channels. Applying thisapproach to the subprime mortgage crisis, we examine whether thereexisted financial contagion between the stock markets of the U.S. andthose of the major countries in Asia, America, and Europe. Empiricalassessment confirms that most of the countries experienced contagionthrough either one of the two channels or through both channels, andthat through which channel the crisis is transmitted to a countrydepends on the country’s economic robustness and global financialmarket integration. The impact of a shock from the U.S. on othermarkets tends to be more pronounced and persistent when it ispropagated through the volatility effect than through interdependence.
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참고문헌 (30)
참고문헌 신청
Beirne, J. / 2013 / Volatility spillovers and contagion from mature to emerging stock markets / Review of International Economics 21:1060~1075
Calvo, S. G. / 1996 / Capital flows to Latin America: Is there evidence of contagion effects?
Chiang, T. C. / 2007 / Dynamic correlation analysis of financial contagion : Evidence from Asian markets / Journal of International Money and Finance 26:1206~1228
Claessens, S. / 2004 / International financial contagion: The theory, evidence and policy implications / Conference The IMF´s Role in Emerging Market Economies: Reassessing the Adequacy of its Resources organized by RBWC, DNB and WEF in Amsterdam
Coudert, V. / 2008 / Does risk aversion drive financial crises? Testing the predictive power of empirical indicators / Journal of Empirical Finance 15:167~184
Calvo, S. G. / 1996 / Capital flows to Latin America: Is there evidence of contagion effects?
Chiang, T. C. / 2007 / Dynamic correlation analysis of financial contagion : Evidence from Asian markets / Journal of International Money and Finance 26:1206~1228
Claessens, S. / 2004 / International financial contagion: The theory, evidence and policy implications / Conference The IMF´s Role in Emerging Market Economies: Reassessing the Adequacy of its Resources organized by RBWC, DNB and WEF in Amsterdam
Coudert, V. / 2008 / Does risk aversion drive financial crises? Testing the predictive power of empirical indicators / Journal of Empirical Finance 15:167~184
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