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Title Are financial crises alike? / prepared by Mardi Dungey [and others]
Published [Washington, D.C.] : International Monetary Fund, ©2010


Description 1 online resource (58 pages) : illustrations (some color)
Series IMF working paper, 2227-8885 ; WP/10/14
IMF working paper ; WP/10/14.
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
Table 2. Descriptive statistics of filtered excess stock returns for selected periodsTable 3. Descriptive statistics of filtered excess bond returns for selected periods; Table 4. Overidentification tests for common factors based on the J-statistic; Table 5. Contribution of contagion to stock and bond market volatility during crises; Table 6. Breakdown of the contribution of contagion channels to overall contagion in stock markets during crises; Table 7. Breakdown of the contribution of contagion channels to overall contagion in bond markets during crises
Table 8. Wald tests of contagion channels: p-values in bracketsTable 9. Sample sensitivity of Argentine crisis dates: stock and bond markets; Table 10. Extension of the model to allow for additional countries during the U.S. subprime crisis. Percentage contribution of contagion to total variance. The results for the original set of countries are contained in Tables 5 to 7; Table 11. Conditional moment tests of the standardized VAR residuals for selected periods; Table 12. Wald tests of structural breaks: p-values in brackets; Figures
Figure 1. Daily stock and bond percentage excess returns, expressed in U.S. dollars, 31st of March 1998 to 31st of December 20Figure 2. Model over-identification test p-values for sensitivity to crisis date selection; Appendix A: Model Derivations; A. Optimal PortfolioWeights; B. Informed Investor Conditional Expectations; C. Uninformed Investor Conditional Expectations; D. Excess Returns Equation; Appendix B: Data Sources and Definitions; Appendix C: Additional VarianceDecompositions; References
Summary 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
Notes At head of title: Monetary and Capital Markets Department
"January 2010."
Bibliography Includes bibliographical references (pages 56-58)
Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. MiAaHDL
Print version record
digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL
Subject Financial crises
Contagion (Social psychology)
Contagion (Social psychology)
Financial crises
economic recession.
economic implication.
public debt.
capital flow.
financial market.
récession économique.
conséquences économiques.
dette publique.
flux de capitaux.
marché financier.
recesión económica.
consecuencias económicas.
deuda pública.
corriente de capitales.
mercado financiero.
Russian Federation.
Russie, fédération.
Rusia, Federación.
Estados Unidos.
Genre/Form IMF pub.
pub FMI.
pub FMI.
Form Electronic book
Author Dungey, Mardi, author.
International Monetary Fund. Monetary and Capital Markets Department, issuing body.
ISBN 1283564505