A Primer on Financial Contagion

By Marcello Pericoli, M. Sbracia. 2003

705 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d46ad5f3a22a600ad58493132c98d26c868345e8

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Citations in the corpus

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2008, neutral): “4 One exception is Serwa and Bohl (2005), who include the US stock market crashes following 9/11 and the 2002 accounting scandals in their sample of crisis events and test for contagion in three emerging and seven mature stock markets in Europe after these events.”
Empirical Modeling of Contagion (2004, neutral): “The origins of current empirical studies of contagion stem from Sharpe (1964) and Grubel and Fadner (1971), and more recently from King and Wadhwani (1990); Engle, Ito, and Lin (1990); and Bekaert and Hodrick (1992).”
New Evidence of Asymmetric Dependence Structures in International Equity Markets (2008, neutral): “4See Pericoli and Sbracia (2003) for an excellent survey of recent contagion literature. this Markov switching asymmetric copula (MSAC) model, I find clear evidence of two distinct regimes as given by the MSSAC model.”
Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications (2013, background): “Experience in recent financial crises indicates that it does not matter through which channel the volatility is transmitted (Pericoli and Sbracia, 2003).”
Spatial contagion between financial markets: a copula-based approach (2010, methodology): “C(u,v), otherwise, for suitable functionFi: Ri → [0, 1 ].”
Bank/Sovereign Risk Spillovers in the European Debt Crisis (2012, background): “The literature on contagion is very broad; excellent overviews can be found in Pericoli and Sbracia (2003), Dungey, Fry, Gonzalez-Hermosillo, and Martin (2005) and Pesaran and Pick (2007).”
Currency crisis contagion and the identification of transmission channels (2008, background): “…Peso crisis in 1994 and the Asian crisis in 1997 have, however, shifted the focus to models based on self-fulfilling expectations (Obstfeld, 1995) and on contagion (see Dornbusch, Park, & Claessens, 2000; Pericoli & Sbracia, 2003; Wolf, 1999 for a comprehensive survey of models of contagion).”