Transmission of Financial Crises and Contagion : A Latent Factor Approach Hardback
by Mardi (Professor of Economics and Finance, Professor of Economics and Finance, University of Dungey, Renee A. (Research Associate, Research Associate, Centre for Financial Analysis and Policy) Fry, Brenda (Deputy Division Chief of Global Financial Stabilit, Deputy Division Chi Gonzalez-Hermosillo, Vance L. (Professor of Econometrics, Professor of Econometrics, University of Melbourne) Martin
Part of the CERF Monographs on Finance and the Economy series
Hardback
Description
Financial crises often transmit across geographical borders and different asset classes.
Modelling 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.
Information
-
Out of stock
- Format:Hardback
- Pages:228 pages, 10 line illustrations
- Publisher:Oxford University Press Inc
- Publication Date:03/02/2011
- Category:
- ISBN:9780199739837
Information
-
Out of stock
- Format:Hardback
- Pages:228 pages, 10 line illustrations
- Publisher:Oxford University Press Inc
- Publication Date:03/02/2011
- Category:
- ISBN:9780199739837
