Is the international propagation of financial shocks non-linear?: Evidence from the ERM

By Carlo A. Favero, Francesco Giavazzi. 2002

294 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b24f1fb74d7e264c8d45418d58f8a041cd3d4750

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies (2014, unknown): “We take the latent factor approach of Dungey et al. (2005), which nests several other empirical approaches (Bae et al., 2003; Bekaert et al., 2005; Corsetti et al., 2005; Favero and Giavazzi, 2002; Forbes and Rigobon, 2002) in a unifying framework to test for contagion.”
Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe (2014, background): “Other tests first select the shocks from the residual outliers in a VAR defined on the asset prices to isolate the crisis-date, and consequently test the significance of a dummy series associated with these outliers in a structural model explaining asset prices to find evidence of contagion on these”
Contagion and Interdependence in Stock Markets: Have they been misdiagnosed? (2003, methodology): “11 Sometimes correlation falls could be related with the “flight to quality” phenomenon as suggested by Favero and Giavazzi (2002). 12 We used HS index.”
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2008, unknown): “proposed by Forbes and Rigobon (2002) and Corsetti, Pericoli, and Sbracia (2005), they find little evidence of contagion. 5 These studies typically estimate factor models with variable factor loadings for returns in foreign markets to capture time-varying market integration. See Bekaert and Harvey (”
Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (2011, unknown): “To do so, we use a VAR framework inspired from Favero and Giavazzi (2002) using dummies to capture the effect of sovereign rating news on various financial markets across countries.3 Our approach combines event study techniques with the interdependence literature (see inter alia Favero and…”
Empirical Modeling of Contagion (2004, unknown): “Favero and Giavazzi (2002) do this within a related context in testing for contagion; see Section V.A below.”
Contagion as a domino effect in global stock markets (2009, unknown): “See King and Wadhwani (1990); Lee and Kim (1993); Loretan and English (2000) and Forbes and Rigobon (2002). See Hamao et al.”
Measuring Contagion with a Bayesian, Time-Varying Coefficient Model (2003, unknown): “( ) 2 ( )+ ( ) , which is increasing in ! (7) and decreasing with ! ( ). If these variances change in turmoil periods, we can expect the bias to change accordingly, thus erroneously revealing presence of contagion when in fact the cross-market linkages have not changed. Volatility may shift because ”
The “Big C”: identifying and mitigating contagion (2012, background): “10 Examples of this approach are: Favero and Giavazzi (2002), and Constancio (2012).”
The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2014, unknown): “Similar to Favero and Giavazzi (2002), our model is embedded into a vector autoregressive framework that is able to capture interdependencies between variables in the system, taking into account their lagged dynamics.”
Contagion in international bond markets during the Russian and the LTCM crises (2006, background): “This definition of contagion is consistent with those offered in a substantial portion of the literature on this topic, including Masson (1999a,b,c), Favero and Giavazzi (2002) and Forbes and Rigobon (2001, 2002).”
Testing Dependence Among Serially Correlated Multicategory Variables (2009, background): “PT = P̂ P̂ n V̂ (P̂ ) V̂ (P̂ ) o 1 2 t p TSyx p SyySxx = p T r: (7)”