East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis

By R. Chakrabarti, Richard Roll. 2001

127 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3bd9ac3907d3cfd091f6841cdf57493bc4db819a

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Citations in the corpus

Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence? (2014, background): “Such a broad view on contagion has also been taken in the papers of Chakrabarti and Roll (2002), Chiang and Wang (2011) or Beirne et al. (2013).”
Global capital market interdependence and spillover effect of credit risk: evidence from the 2007–2009 global financial crisis (2010, background): “Together, these support existing literature on increasing global market interdependence during financial crises (Tuluca and Zwick, 2001; Chakrabarti and Roll, 2002; Yang et al., 2002; Hon et al., 2004; Yang et al., 2006).”
Crises and contagion in Asia Pacific — Islamic v/s conventional markets (2015, background): “In regard to financial contagion, the proof might be seen from the evolution of co-movement temporarily across diverse markets amid crisis periods (Candelon et al., 2008; Chakrabarti and Roll, 2002; and so on).”
News Spillovers in the Sovereign Debt Market (2003, unknown): “De Gregorio and Valdes (2001) examine similar issues during the 1982 debt crisis, the 1994 Mexican devaluation, and the 1997 Asian crisis.”
Systemic Risk and International Portfolio Choice (2004, unknown): “For evidence on changing conditional correlations see, for instance, Speidell and Sappenfield (1992), Odier and Solnik (1993), Erb, Harvey, and Viskanta (1994), Longin and Solnik (1995), Karolyi and Stulz (1996), Chakrabarti and Roll (2000), and Ang and Chen (2002).”
Dependence structure between the equity market and the foreign exchange market–A copula approach (2010, background): “The left(lower) and right(upper) tail dependence coe cients are de ned as l = lim u !0Pr[G(y) ujF (X) u] = lim u !0C(u; u) u ; (4) r = lim u !1Pr[G(Y ) ujF (X) u] = lim u !11 2u+ C(u; u) 1 u ; (5) where l and r 2 [0; 1].”
Stock market cycles, financial liberalization and volatility (2003, unknown): “Stulz (1996), Eichengreen and Mody (2000), Forbes and Rigobon (2002), Bekaert, Harvey and Lumsdaine (2002a,b), Bekaert, Harvey and Ng (2002), Janakiramanan and Lamba (1998), Chakrabarti and Roll (2002), Edwards (2000) and Chen et al.”
No contagion, only globalization and flight to quality (2012, background): “Asia 1997 According to the IMF, Chakrabarti and Roll (2002), and Dungey et al. (2004, 2006), the crisis began on July 2, 1997 when Thailand decided to allow the baht to float after it had come under attack on May 14 and 15.”