The transmission process of financial crises across the emerging markets: an alternative consideration

Preprint OPEN
Abdurrahman, Korkmaz;
(2012)
  • Subject: contagion, interdependence, outlier test, financial crisis
    • jel: jel:C12 | jel:C32 | jel:G01

This paper offers an alternative consideration for the transmission process of financial crises across emerging markets. Here, we hypothesized that the interdependence effect could weaken, even disappear completely, and veer during a crisis period as a result of the con... View more
  • References (8)

    1999a, Contagion: monsoonal effects, spillovers, and jumps between multiple equilibria. In The Asian Financial Crisis: Causes, Contagion and Consequences. Edited by P.R. Age´nor, M. Miller, D.Vines, and A. Weber. Cambridge: Cambridge University Press.

    1999b, Contagion: macroeconomic models with multiple equilibria. Journal of International Money and Finance 8(4), 587- 602. Pesaran, Hashem, and Andreas Pick, 2007, Econometric issues in the analysis of contagion, Journal of Economic Dynamics & Control 314, 1245-1277. Zellner, Arnold, and Henri Theil, 1962, Three-stage least squares: simultaneous estimation of simultaneous equations. Econometrica 30(1), 54-78. Brazil (-9.540b) Thailand (-7.033c) Iran (6.390a), Israel (-18.877b) Moldova (-14.972a), Poland (4.621a) Egypt (-5.226b) Argentina (-15.587a), Latvia (7.716a), Egypt (7.971b), Russia (7.603a), S. Arabia (9.597a) Turkey (-547.832b) Belarus (-12.155a) Latvia (-3.988c) EEFTP0T1 Belarus+ and Latvia(January 2000) Poland(October 2000) Korea- and Turkey+ (December 2000) Argentina+ (July 2001) S. Africa+, Croatia- and Romania+ (December 2001) Argentina+ and Iran+ (March 2002) Brazil+ (September 2002) Thailand(January 2003) Lithuania(March 2003) Czech Rep.+, Korea- and Thailand+ (July 2003) Bulgaria+ (July 2004) S. Africa (-3.011c), India (3.604a) Romania (-17.127a) Iran (-3.762a), Lithuania (-11.315a), Ukraine (-5.008b)

    (November 2005) S. Arabia (-8.394a) No

    (March 2006) Croatia (7.567c), India (-2.842a) Yes, No

    (November 2006) Israel (-15.453c), Egypt (-9.361a) No

    Korea- and Egypt- Belarus (8.859b), Israel (-40.374a),

    (June 2008) Romania (-12.247) Yes, No, No

    (September 2008) Russia (4.012b) Indefinite Notes: 1, 2, 3 represent, respectively, period of the financial turbulence, economies experiencing the financial turbulence and kind of the financial turbulence, while +, - imply that the related economy experienced a financial crisis and a mania, respectively. Contagion parameters are in parentheses. The cases written in bold refer to the cases that the perspective offered by the study on the contagion process is found to be valid. Finally, a, b and c refer to 1%, 5% and 10% significance levels, respectively.

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