| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3296 |
| DP3296 One Money, but Many Fiscal Policies in Europe: What Are the Consequences? | |
| Harald Uhlig | |
| 发表日期 | 2002-04-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | This Paper develops a test of contagion in financial markets based on bivariate correlation analysis, which generalizes existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997. Contagion is defined as a structural break in the international transmission of financial shocks. For plausible values of the variance of country-specific shocks in Hong Kong, our test finds evidence of contagion for 5 countries out of a sample of 17. This is in sharp contrast with the findings of recent literature, according to which there is 'no contagion, only interdependence'. We show that this strong result in the literature is due to arbitrary and unrealistic restrictions on the variance of country-specific shocks. |
| 主题 | International Macroeconomics |
| 关键词 | Contagion Financial crisis Factor model Correlation analysis |
| URL | https://cepr.org/publications/dp3296 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532324 |
| 推荐引用方式 GB/T 7714 | Harald Uhlig. DP3296 One Money, but Many Fiscal Policies in Europe: What Are the Consequences?. 2002. |
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