Title: Transmission of Financial Crises and Contagion:: A Latent Factor Approach (CERF Monographs on Finance and the Economy)
Publisher: Oxford University Press
Publication Date: 2011
Language: English
ISBN 10: 0199739838
ISBN 13: 9780199739837
Binding: Hardcover
Condition: New

About this title

Synopsis

Financial crises often transmit across geographical borders and different asset classes. Modeling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework encompasses a number of other empirical contagion models and why the results between the models differ. The book builds a framework which begins from considering contagion in the bond markets during 1997-1998 across a number of countries, and culminates in a model which encompasses multiple assets across multiple countries through over a decade of crisis events from East Asia in 1997-1998 to the sub prime crisis during 2008. Program code to support implementation of similar models is available.

About the Author

MD: Professor of Economics and Finance, University of Tasmania
RF: Research Associate, Centre for Financial Analysis and Policy
BGH: Deputy Division Chief of Global Financial Stability, Monetary and Capital Markets Department, International Monetary Fund
VM: Professor of Econometrics, University of Melbourne

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