Title Are financial crises alike? / prepared by Mardi Dungey [and others]

Published [Washington, D.C.] : International Monetary Fund, ©2010

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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. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL English 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. Brazil. Argentina. Russian Federation. USA. Brésil. Argentine. Russie, fédération. Etats-Unis. Brasil. Argentina. 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 9781283564502 1451918631 9781451918632 1462302270 9781462302277 1452784353 9781452784359 9786613876959 661387695X 9781451962086 1451962088

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