| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7913 |
| 来源ID | Working Paper 7913 |
| A New Approach to Measuring Financial Contagion | |
| Kee-Hong Bae; G. Andrew Karolyi; Rene M. Stulz | |
| 发表日期 | 2000-09-01 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | This paper proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the co-incidence of extreme return shocks across countries within a region and across regions that cannot be explained by linear propagation models of shocks. We characterize the extent of contagion, its economic significance, and its determinants using a multinomial logistic regression model. Applying our approach to daily returns of emerging markets during the 1990s, we find that contagion, when measured by the co-incidence within and across regions of extreme return shocks, is predictable and depends on regional interest rates, exchange rate changes, and conditional stock return volatility. Evidence that contagion is stronger for extreme negative returns than for extreme positive returns is mixed. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w7913 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565498 |
| 推荐引用方式 GB/T 7714 | Kee-Hong Bae,G. Andrew Karolyi,Rene M. Stulz. A New Approach to Measuring Financial Contagion. 2000. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7913.pdf（411KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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