Detecting shift-contagion in currency and bond markets

• 成果类型: Article
• 署名作者: Gravelle, T; Kichian, M; Morley, J
• 署名单位: Washington University (WUSTL); International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2005.07.005
• 发表日期: 2006
• 页码: 409-423
• 关键词: contagion; financial market crises; regime switching; asset markets; structural transmission

摘要

This paper investigates why financial market crises often increase the interdependence between assets associated with different countries. Two sources of increased co-movement in asset returns are considered: (i) larger common shocks operating through standard cross-country linkages and (ii) changes in the structural transmission of shocks across countries, referred to as shift-contagion. To examine this issue, we develop a method for detecting shift-contagion with three notable features. First, parameters corresponding to the structural transmission of shocks across countries are identified in the presence of changing volatility regimes for the shocks. Second, the timing of changes in volatility is endogenously estimated instead of being exogenously assigned. Third, the countries in which crises originate need not be known or even included in the analysis. We apply the method to currency returns for developed countries and bond returns for emerging-market, countries. (c) 2005 Elsevier B.V All rights reserved.