No Contagion, Only Interdependence: Measuring Stock Market Co-movements
Опубликовано на портале: 25-10-2007
Journal of Finance. 2002. Vol. 57. No. 5. P. 2223-2261.
The remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash. In each of these cases, tests based on the unadjusted correlation coefficients find evidence of contagion in several countries, while tests based on the adjusted coefficients find virtually no contagion. This suggests that high market co-movements during these periods were a continuation of strong cross-market linkages. In other words, during these three crises there was no contagion, only interdependence
Рабочую версию статьи можно найти на сайте NBER
Journal of International Economics. 2000. Vol. 51. No. 1. P. 79-113.
Journal of Economic Theory. 2004. Vol. 119. No. 1. P. 6-30.
Journal of Political Economy. 2001. Vol. 109. No. 6. P. 1155–1197.
Net Worth, Exchange Rates, and Monetary Policy: The Effects of a Devaluation in a Financially Fragile Environment
NBER Working Papers. 2007. No. 13244.