Transmission Of Financial Crises And Contagion:: A Latent Factor Approach (cerf Monographs On Finance And The Economy)
by Mardi Dungey /
2011 / English / PDF
1.2 MB Download
Financial crises often transmit across geographical borders and
different asset classes. Modeling these interactions is empirically
challenging, and many of the proposed methods give different
results when applied to the same data sets. In this book the
authors set out their work on a general framework for modeling the
transmission of financial crises using latent factor models. They
show how their framework encompasses a number of other empirical
contagion models and why the results between the models differ. The
book builds a framework which begins from considering contagion in
the bond markets during 1997-1998 across a number of countries, and
culminates in a model which encompasses multiple assets across
multiple countries through over a decade of crisis events from East
Asia in 1997-1998 to the sub prime crisis during 2008. Program code
to support implementation of similar models is available.
Financial crises often transmit across geographical borders and
different asset classes. Modeling these interactions is empirically
challenging, and many of the proposed methods give different
results when applied to the same data sets. In this book the
authors set out their work on a general framework for modeling the
transmission of financial crises using latent factor models. They
show how their framework encompasses a number of other empirical
contagion models and why the results between the models differ. The
book builds a framework which begins from considering contagion in
the bond markets during 1997-1998 across a number of countries, and
culminates in a model which encompasses multiple assets across
multiple countries through over a decade of crisis events from East
Asia in 1997-1998 to the sub prime crisis during 2008. Program code
to support implementation of similar models is available.
