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Are financial crises becoming increasingly more contagious? : what is the historical evidence on contagion?

Author: Michael D Bordo; Antu Panini Murshid; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, ©2000.
Series: Working paper series (National Bureau of Economic Research), working paper no. 7900.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: We examine the evidence of contagion during the pre World War I era and the interwar and contrast our findings with the evidence of contagion from the recent crises in Asia and Latin America. Using weekly data on bond prices and interest rates, we investigate the extent to which bilateral cross-market correlations rise following the onset of a crisis. After correcting for heteroscedasticity, ala Forbes and  Read more...
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Genre/Form: History
Additional Physical Format: Print version:
Bordo, Michael D.
Are financial crises becoming increasingly more contagious?.
Cambridge, MA : National Bureau of Economic Research, ©2000
(OCoLC)45145896
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Michael D Bordo; Antu Panini Murshid; National Bureau of Economic Research.
OCLC Number: 648368850
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (70 pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 7900.
Other Titles: What is the historical evidence on contagion?
Responsibility: Michael D. Bordo, Antu Panini Murshid.

Abstract:

Abstract: We examine the evidence of contagion during the pre World War I era and the interwar and contrast our findings with the evidence of contagion from the recent crises in Asia and Latin America. Using weekly data on bond prices and interest rates, we investigate the extent to which bilateral cross-market correlations rise following the onset of a crisis. After correcting for heteroscedasticity, ala Forbes and Rigobon (1998, 1999), we find little evidence of significant increases in cross-market correlations in either the earlier regimes or in the more recent period. We use principle components analysis to assess the extent of comovement across all markets as well as within various groups of markets, prior to, and after the onset of a crisis. Countries are grouped into regions, as well as along the lines of advanced and emerging. There is little evidence to suggest that cross-country linkages are tighter in the aftermath of a financial crisis for the recent period. There is, however, some evidence of stronger comovement during periods of instability in earlier regimes.

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