Extreme interdependence and extreme contagion between emerging markets

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33 Citazioni (Scopus)

Abstract

This paper uses seemingly unrelated probit techniques to separate the transmission of a crisis due to broadly defined macroeconomic interdependence from contagion due to herding, avoiding some of the caveats of the more traditional cross-correlation approach. We find that pure contagion occurred in a limited number of country pairs generally belonging to the same region. A reduction in speculative pressure can also be identified between countries in different regional blocks. This seems to suggest that after an initial crisis episode, investors tend to discriminate on the basis of location and common macroeconomic weakness or perceived similarity.
Lingua originaleEnglish
pagine (da-a)1261-1291
RivistaJournal of International Money and Finance
Volume26
Stato di pubblicazionePublished - 2007

All Science Journal Classification (ASJC) codes

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