Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis

Andrea Cipollini, Andrea Cipollini, Philip Arestis, Guglielmo Maria Caporale, Nicola Spagnolo

Risultato della ricerca: Article

9 Citazioni (Scopus)

Abstract

In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon, we test for contagion as a significant positive shift in the correlation between asset returns, taking into account heteroscedasticity and endogeneity bias. Furthermore, we improve on earlier empirical studies by carrying out a full sample test of the stability of the system that relies on more plausible (over) identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan (the main international lender in the region), which drastically cut its credit lines to the other Asian countries in 1997
Lingua originaleEnglish
pagine (da-a)359-367
Numero di pagine9
RivistaInternational Journal of Finance & Economics
Volume10
Stato di pubblicazionePublished - 2005

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Emerging markets
Financial contagion
Testing
East Asian crisis
Contagion
Japan
Thailand
Heteroscedasticity
Credit
Large economy
Endogeneity bias
Developed countries
Malaysia
Germany
France
Asian countries
Korea
Indonesia
Empirical study
Asset returns

All Science Journal Classification (ASJC) codes

  • Accounting
  • Economics and Econometrics
  • Finance

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Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis. / Cipollini, Andrea; Cipollini, Andrea; Arestis, Philip; Caporale, Guglielmo Maria; Spagnolo, Nicola.

In: International Journal of Finance & Economics, Vol. 10, 2005, pag. 359-367.

Risultato della ricerca: Article

Cipollini, Andrea ; Cipollini, Andrea ; Arestis, Philip ; Caporale, Guglielmo Maria ; Spagnolo, Nicola. / Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis. In: International Journal of Finance & Economics. 2005 ; Vol. 10. pagg. 359-367.
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AB - In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon, we test for contagion as a significant positive shift in the correlation between asset returns, taking into account heteroscedasticity and endogeneity bias. Furthermore, we improve on earlier empirical studies by carrying out a full sample test of the stability of the system that relies on more plausible (over) identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan (the main international lender in the region), which drastically cut its credit lines to the other Asian countries in 1997

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