What Is International Financial Contagion

By Thomas Moser. 2003

233 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9c59df7b8a31bc11ce46e6d798e8c042486dadd8

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Citations in the corpus

Bubbles, Financial Crises, and Systemic Risk (2012, unknown): “the literature on contagion and volatility spillovers (see Claessens and Forbes (2001) for an overview). This literature makes the point that estimates of correlations might be capturing volatility spillovers, as opposed to pure contagion. Forbes and Rigobon (2002) make the argument to disentangle i”
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach (2012, background): “Thus, Eichengreen, Rose, and Wyplosz (1996), Caramazza, Ricci, and Salgado (2004), and Van Rijckeghem and Weder (2001) define a dichotomous variable representing the presence of a crisis in a country and adopt probit/logit models (an explanatory approach where foreign variables may be present).”
The “Big C”: identifying and mitigating contagion (2012, unknown): “ 21 For overviews of various channels of contagion and different ways to categorize them, see Claessens et al. (2001), Karolyi (2003), Forbes (2004), Allen et al. (2009), and Didier et al. (2010).”
Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, unknown): “However, contagion being associated to high frequency data, such type of data is not available for macroeconomic variables (Moser 2003).”
Cooperation in International Banking Supervision (2004, unknown): “If condition (16) does not hold, there will be combinations of and where the banks choice is welfare maximizing and others where it is not.”
Determinants of Financial Stress in Emerging Market Economies (2014, unknown): “Earlier studies classified the causes of financial contagion into two broad categories (Calvo and Reinhart, 1996; Dornbusch et al., 2000; Kaminsky and Reinhart, 1999, 2000; Moser, 2003).”
Return and volatility spillovers among the East Asian equity markets (2010, unknown): “1 See Claessens and Forbes (2001) for a collection of major contributions on financial contagion after the East Asian crisis.”
On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios (2012, unknown): “domestic funds, and Kang and Stulz (1997), Dahlquist and Robertsson (2001), Kim and Wei (2002), Chan et al.”