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Are Financial Crises Alike?, Chrismin Tang, Mardi Dungey, Vance Martin, Brenda Gonzalez-Hermosillo, Renee Fry

Abstract
This paper investigates whether financial crises are alike by considering whether a single modeling framework can fit multiple distinct crises in which contagion effects link markets across national borders and asset classes. The crises considered are Russia and LTCM in the second half of 1998, Brazil in early 1999, dot-com in 2000, Argentina in 2001-2005, and the recent U.S. subprime mortgage and credit crisis in 2007. Using daily stock and bond returns on emerging and developed markets from 1998 to 2007, the empirical results show that financial crises are indeed alike, as all linkages are statistically important across all crises. However, the strength of these linkages does vary across crises. Contagion channels are widespread during the Russian/LTCM crisis, are less important during subsequent crises until the subprime crisis, where again the transmission of contagion becomes rampant
Table Of Contents
Contents; I. Introduction; II. A Model of Contagion; III.Empirical Factor Specification; A. Noncrisis Specification; B. Crisis Specification; IV.Data; A. Crisis Dates; V. Empirical Results; A. Evidence of Contagion; B. Comparison of Contagion Channels Across Crises; C. Testing the Channels of Contagion; VI. Robustness Checks and Additional Diagnostics; A. CrisisDating SensitivityAnalysis; B. Extension of Countries; C. ConditionalMoment Tests; D. Structural Break Tests; VII.Conclusions; Tables; Table 1. Summary of crisis dates
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (60 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781283564502

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