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Testing the hypothesis of contagion using multivariate volatility models

Pereira, Pedro Luiz Valls
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Trabalho em Andamento
Relevância na Pesquisa
37.38%
The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used to implement the test. The contagion hypothesis is tested using multivariate volatility models. If there is any evidence of structural break in volatility that can be linked to financial crises, the contagion hypothesis will be confirmed. Results suggest that there is evidence in favor of the contagion hypothesis.

The influence of emotional contagion on products evaluation

Isabella, Giuliana
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
EN_US
Relevância na Pesquisa
37.42%
Emotional Contagion is the mechanism that includes mimicking and the automatic synchronization of facial expressions, vocalizations, postures, and movements with another person and, consequently, convergence of emotions between the sender and receiver. Researches of this mechanism conducted usually in the fields of Psychology and Marketing tends to investigate face-to-face interactions. However, the question remains to what extent, if any, emotional contagion may occur with facial expressions in photos, since many purchase situations are brought on by catalogues or websites. This thesis has the goal to verify this gap and, in addition, verify whether emotional contagion is more common in females than in males as stated in previous studies. Emotions have been studied because it is intuitively apparent that emotions affect the dynamics of the interaction between a salesperson and customers (Verbeke, 1997); in other words, emotions may significantly affect consumer behavior. Therefore, this thesis also verified whether the facial expressions that transmit emotions could be associated to product evaluations. To investigate these questions, an experiment was done with 171 participants, which were exposed to either smiling (positive emotion) or neutral advertising. The differences between the individual advertisements were limited to the facial expressions of figures in the advertisements (either smiling or neutral/without smiling). One specialist and two students analyzed videotaped records of the participants’ responses...

Variaveis instrumentais no modelo canonico de contagio heteroscedastico; Instrumental variables in heteroskedastic canonical model of contagion

Andre Luiz Prima Ribeiro
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 25/02/2010 PT
Relevância na Pesquisa
37.32%
O conhecimento das relações de dependência entre as economias são relevantes para tomadas de decisões de Bancos Centrais, investidores e governos. Um tema desafiador é o estudo da existência de contágio entre as economias. Este trabalho considera o Modelo Canônico de Contágio estudado por Pesaran e Pick (2007), o qual diferencia contágio de interdependência. O estimador de mínimos quadrados ordinário para este modelo é viesado devido à existência de variáveis endógenas no modelo. A teoria de variáveis instrumentais é utilizada para diminuir o viés existente nos estimadores de mínimos quadrados ordinários. Este trabalho estuda este modelo na presença de erros heteroscedásticos e utiliza as volatilidades condicionais como variáveis instrumentais. São estudados vários métodos para teste de hipóteses, com ênfase em testes robustos a instrumentos fracos. São abordadas duas diferentes definições de crise e são postuladas como instrumentos válidos as volatilidades condicionais dos índices de desempenho das economias e analisadas por meio de simulações de Monte Carlo a validade destes instrumentos para identificar a existência de contágio. Especificamente, são consideradas as distribuições dos estimadores e a função poder dos testes propostos para diferentes tamanhos de amostras...

Contagion effects of the subprime crisis in the European NYSE Euronext markets

Horta, Paulo; Mendes, Carlos; Vieira, Isabel
Fonte: Universidade de Évora Publicador: Universidade de Évora
Tipo: Artigo de Revista Científica
POR
Relevância na Pesquisa
37.38%
This paper presents three tests of contagion of theUS subprime crisis to the European stock markets of the NYSE Euronext group. Copula models are used to analyse dependence structures between the US and the other stock markets in the sample, in the pre-crisis and in the subprime crisis periods. The first test assesses the existence of contagion on the relevant stock markets’ indices, the second checks the homogeneity of contagion intensities, and the third compares contagion in financial and in industrial sectors’ indices. Results suggest that contagion exists, and is equally felt, in most stock markets and that investors anticipated a spreading of the financial crisis to the indices of industrial sectors, long before such dissemination was observable in the real economy.

Contagion effects of the US subprime crisis in developed countries

Horta, Paulo; Mendes, Carlos; Vieira, Isabel
Fonte: Lambert Academic Publishing Publicador: Lambert Academic Publishing
Tipo: Parte de Livro
ENG
Relevância na Pesquisa
37.38%
This study assesses whether capital markets of developed countries reflect the effects of financial contagion from the US subprime crisis and, in such case, if the intensity of contagion differs across countries. Adopting a definition of contagion that relates the phenomenon to an increase of cross-market linkages following a shock, copula models are used to analyse how the connections between the US and each market in the sample, evolved from the pre-crisis to the crisis period. The results suggest that markets in Canada, Japan, Italy, France and the United Kingdom display significant levels of contagion, which are less relevant in Germany. Canada appears to be the country where the highest intensity of contagion is observed.

Interbank linkages and contagion risk in the portuguese banking system

Fernandes, Lara Mónica Machado; Borges, Maria Rosa
Fonte: ISEG. Departamento de Economia Publicador: ISEG. Departamento de Economia
Tipo: Outros
Publicado em //2013 ENG
Relevância na Pesquisa
37.32%
Interbank money markets play a fundamental role in financial systems but they can also be a channel through which problems in one institution can spread to the remaining ones. In particular, the potential for contagion stemming from interbank money markets is closely related with the pattern of interbank lending relationships. In this study, we characterize the Portuguese overnight interbank money market between 1999 and 2009 and analyze its inherent potential for contagion, based on bilateral interbank exposures. We conclude that: (i) the Portuguese overnight interbank money market has a multiple money center structure, where some banks have, simultaneously, an important role as lenders as well as borrowers; (ii) although unlikely, the failure of one institution can have contagion effects, pushing others into failure; (iii) however, even under the most extreme assumptions, banks that fail by contagion represent less than 10 per cent of the total banking systems assets.

Contagion Channels of the Subprime Financial Crisis to the NYSE Euronext European Markets using Copulas

Horta, P.J.B.; Lagoa, S.; Martins, l.F.
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Trabalho em Andamento
Publicado em 17/09/2012 ENG
Relevância na Pesquisa
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Abstract This paper tests whether there was contagion of the Subprime financial crisis to the European stock markets of the NYSE Euronext group (Belgium, France, the Netherlands and Portugal) and, if evidence of contagion is found, determines the transmission channel(s) through which the crisis was propagated. We date the beginning of the crisis as 1st August 2007 after the burst of the U.S. subprime bubble, ending on 7th December 2009 with the emergence of the Greek sovereign debt crisis. After assessing whether there is evidence of financial contagion in the stock markets, we examine whether the "wealth constraints" transmission mechanism prevails over the "portfolio rebalancing” mechanism. An additional test looks at the interaction between stock and bond markets during the crisis and allows us to determine if the transmission occurs due to the “cross market rebalancing” channel or to the “flying to quality” phenomenon. We use copula theory to model the dependence structure between the U.S. stock market and the other stock markets in the sample, during the pre-crisis and the turmoil period. The tests suggest that i) financial contagion is present in all analysed stock markets, ii) the "portfolio rebalancing" channel is the most important crisis transmission mechanism...

The impact of the 2008 and 2010 financial crises on international stock markets: contagion and long memory

Horta, Paulo Jorge de Brito
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Tese de Doutorado
Publicado em //2015 ENG
Relevância na Pesquisa
37.53%
A Thesis presented in partial fulfillment of the Requirements for the Degree of Doctor in Economics / Classificação JEL: F30, G14, G15; Nesta tese estudamos os efeitos de contágio financeiro e de memória longa causados pelas crises financeiras de 2008 e 2010 em alguns mercados acionistas internacionais. A tese é composta por três ensaios interligados. No Ensaio 1, recorremos à teoria das cópulas para testar a existência de contágio e revelar os canais “investor induced” de transmissão da crise de 2008 aos mercados da Bélgica, França, Holanda e Portugal (grupo NYSE Euronext). Concluímos que existe contágio nestes mercados, que o canal “portfolio rebalancing” é o mecanismo mais importante de transmissão da crise, e que o fenómeno “flight to quality” está presente nos mercados. No Ensaio 2, usando novamente modelos de cópulas, avaliamos os efeitos de contágio provocados pelo mercado acionista grego nos mercados do grupo NYSE Euronext, no contexto da crise de 2010. Os resultados obtidos sugerem que durante a crise de 2010 apenas o mercado português foi objeto de contágio; além disso, conclui-se que os efeitos de contágio provocados pela crise de 2008 são claramente superiores aos efeitos provocados pela crise de 2010. No Ensaio 3...

The Uncertainty Channel of Contagion

Kannan, Prakash; Kohler-Geib, Fritzi
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
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The 2007 subprime crisis in the United States has triggered a succession of financial crises around the globe, reigniting interest in the contagion phenomenon. Not all crises, however, are contagious. This paper models a new channel of contagion where the degree of anticipation of crises, through its impact on investor uncertainty, determines the occurrence of contagion. Incidences of surprise crises lead investors to doubt the accuracy of their information-gathering technology, which endogenously increases the probability of crises elsewhere. Anticipated crises, instead, have the opposite effect. Importantly, this channel is empirically shown to have an independent effect beyond other contagion channels.

Crisis and Contagion in East Asia : Nine Lessons

Kawai, Masahiro; Newfarmer, Richard; Schmukler, Sergio
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
37.51%
The authors investigate the origins of the East Asian crisis and its contagion, examine the channels of contagion, and discuss policy recommendationsThey make detailed recommendations in the context of nine general lessons learned from the East Asian crisis. 1) Preventing crises and contagion: avoid large current account deficits financed through short-term private capital inflows. Aggressively regulate and supervise financial systems to ensure that banks and nonbank financial institutions manage risks prudently. Put in place incentives for sound corporate finance to prevent high leverage ratios and overreliance on foreign borrowing. 2) Managing crises and contagion: In the context of sound policies, mobilize timely external liquidity of sufficient magnitude to restore market confidence. At times of crisis, "bail in" private foreign creditors. When official resources are too limited for the magnitude of the crisis or contagion, and when private creditors are not amenable to coordination, some involuntary private involvement may be needed too. Keep in mind that there is no one-size-fits-all monetary and fiscal stance for responding to crises and contagion. 3) Resolving the systemic consequences of crises and contagion. Move swiftly to establish domestic and international mechanisms for dealing with the assets and liabilities on nonviolable banks and corporations. Cushion the effects of crisis on low-income groups through social policies to ameliorate the inevitable social tensions associated with adjustment. 4) Developing an effective regional financial architecture. Improve mechanisms for preventing...

Shocks and systemic influences: contagion in global equity markets in 1998

Dungey, Mardi; Fry, Renee; Gonzalez-Hermosillo, Brenda; Martin, Vance L.
Fonte: CAMA, Australian National University Publicador: CAMA, Australian National University
Tipo: Working/Technical Paper Formato: 33 pages
Relevância na Pesquisa
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The transmission of the financial crises in 1998 though international equity markets is estimated through a multi-factor model of financial markets specifically allowing for contagion effects. The application measures the strength of contagion emanating from the Russia crisis of 1998, and the LTCM near collapse, using a panel of 10 emerging and developed financial markets. Pre and post default periods for Russia are distinguished. The results show that contagion is significant and widespread from both crises, although the LTCM crises has more impact on developed than emerging markets. Consistent with the existing literature, regional effects are found to be strong during financial crises. Asian markets are found to be relatively immune from contagion, perhaps reflecting the effect of their own recent crisis.

Multivariate contagion and interdependence

Baur, Dirk G; Fry, Renée A
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: 14 pages
Relevância na Pesquisa
37.38%
This paper proposes a multivariate test to measure the statistical and economic significance of contagion through analysis of extreme unobserved common shocks. Contagious episodes are endogenously determined with no need, but the possibility, to specify the source country. Application to a panel of equity returns during the Asian crisis of 1997–1998 finds that interdependencies are substantially more important than contagion. However, the periods of contagion evident show that it is short-lived, split between positive and negative movements and reverses quickly. In comparison to other Asian crisis countries, Hong Kong is the main driver of contagion in the crisis. The proposed methodology and the empirical findings provide a more detailed picture of contagion than commonly applied tests.; Fry gratefully acknowledges funding from ARC grant DP0985783.

A regime switching skew-normal model of crises and contagion

McKibbin, Renee Anne; Chan, Joshua C.C.; Hsiao, Cody Yu-Ling
Fonte: ANU College of Asia & the Pacific Publicador: ANU College of Asia & the Pacific
Tipo: Working/Technical Paper Formato: 39 pages
Relevância na Pesquisa
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A regime switching skew-normal model for nancial crisis and contagion is proposed in which we develop a new class of multiple-channel crisis and con- tagion tests. Crisis channels are measured through changes in own moments of the mean, variance and skewness, while contagion is through changes in the correlation and co-skewness of the joint distribution of asset returns. In this framework: i) linear and non-linear dependence is allowed; ii) transmission chan- nels are simultaneously examined; iii) crisis and contagion are distinguished and individually modeled; iv) the market that a crisis originates is endogenous; and v) the timing of a crisis is endogenous. In an empirical application, we apply the proposed model to equity markets during the Great Recession using Bayesian model comparison techniques to assess the multiple channels of crisis and conta- gion. The results generally show that crisis and contagion are pervasive across Europe and the US. The second moment channels of crisis and contagion are systematically more evident than the rst and third moment channels.

Finanzmarktkrisen und Ansteckungseffekte; Financial Market Crises and Contagion Effects

Liesenfeld, Stefanie
Fonte: Universidade de Tubinga Publicador: Universidade de Tubinga
Tipo: Dissertação
DE_DE
Relevância na Pesquisa
37.32%
Die Dissertation beschreibt und systematisiert verschiedene Krisenbegriffe sowie den Begriff des Ansteckungseffekts. Es wird ein Literaturüberblick gegeben über theoretische und empirische Studien zu Ansteckungseffekten auf Finanzmärkten. Ein theoretisches Modell beschreibt einen denkbaren Ansteckungsmechanismus durch Informationsupdating der Anleger. Weiterhin werden mittels einer Panelprobitschätzung die Ansteckungseffekte der Argentinienkrise 2002 in Art und Ausmaß ermittelt. Abschließend wird eine Event Study zu den Wirkungen von IWF-Eingriffen im Zusammenhang mit der Argentinienkrise durchgeführt.; This dissertation describes different conceptions of economic crises and different conceptions of contagion effects. There is a survey of theoretical and empirical studies concerning contagion effects on financial markets. A theoretical model describes a single contagion mechanism caused by information updating by investors. There is further an investigation about contagion effects of the financial crisis in Argentina in 2002 using Panel Probit estimation. Finally there is an Event Study analyzing the effects of IMF interventions in the aftermath of the Argentine crisis.

Information acquisition and financial contagion

Samartín Sáenz, Margarita; Hasman, Augusto
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: text/plain; application/pdf
Publicado em /10/2008 ENG
Relevância na Pesquisa
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This paper incorporates costly voluntary acquisition of information à la Nikitin and Smith (2007) [Nikitin, M., Smith, R.T., 2007. Information acquisition, coordination, and fundamentals in a financial crisis. Journal of Banking and Finance, in press, doi:10.1016/j.jbankfin.2007.04.031], in a framework similar to Allen and Gale (2000) [Allen, F., Gale, D., 2000. Financial contagion. Journal of Political Economy 108, 1–33], without relying on any unexpected shock to model contagion. In this framework, contagion and financial crises are the result of information gathering by depositors, weak fundamentals and an incomplete market structure of banks. It also shows how financial systems entering a recession can affect others with apparently stronger economic conditions (contagion). Finally, this is the first paper to investigate the effectiveness of the Contingent Credit Line procedures, introduced by the IMF at the end of the nineties, as a mechanism to prevent the propagation of crises.

Contagion and Firms’ Internationalization in Latin America : Evidence from Mexico, Brazil, and Chile

Sakho, Yaye Seynabou
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
37.38%
The author investigates whether contagion matters when emerging market firms cross-list their stocks in a developed capital market. She develops a rational expectations model where financial markets are segmented along emerging markets' borders and contagion spreads from one emerging market to another through the actions of international investors rebalancing their portfolio using stocks cross-listed in the developed market. The author finds that contagion is a cost of internationalization as cross-listed stocks are more affected by contagion than pure domestic stocks. Furthermore, a welfare analysis of international cross-listing versus financial autarky suggests that the benefits of internationalization in terms of less information asymmetry and better market efficiency offset the costs of contagion. Her model is able to explain some transmission of the 1998 Brazilian crisis to Mexico and Chile.

International Contagion : Implications for Policy

Chang, Roberto; Majnoni, Giovanni
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
37.42%
The authors try to identify and evaluate the public policy implications of financial crises. In this model, financial contagion can be driven by a combination of fundamentals and by self-fulfilling market expectations. The model allows the authors to identify different notions of contagion, especially the distinction between "monsoonal effects", "spillovers", and "switchers between equilibria". They discuss both domestic and international policy options. Domestic policies, they say, should be aimed at reducing financial fragility - that is, reducing unnecessary short-term debt commitments. With explicit commitments, the maturity of external debts should be lengthened. With implicit commitments, such as private liability guarantees, they emphasize limiting or eliminating such guarantees, to improve an economy's international liquidity and reduce its exposure to contagion. Internationally, they stress the need for improving financial standards, which makes it easier to assess when a country is subject to different kinds of contagion. The effectiveness of international rescue packages depends on the kind of contagion to which a country is exposed. Implications: the international community should help those countries that are already helping themselves.

Three Essays On Asset Bubbles And Contagion Over Financial Networks

Shen, YUE
Fonte: Quens University Publicador: Quens University
Tipo: Tese de Doutorado
EN; EN
Relevância na Pesquisa
37.38%
This thesis studies financial market stability by exploring asset bubbles and contagions over financial markets. First I construct a model where bubbles arise from a lack of common knowledge about the asset value among traders with private information, and I evaluate the effects of capital gain tax and transaction costs on bubbles. I find that capital gains tax has no effect on the size of the bubble when there is a perfect tax credit for capital losses, and the size of the bubble decreases in the tax when there is no tax credit. Therefore dealing with bubbles with capital gains tax not only requires imposing the tax, but also tightening the policies on tax credits. In a simplified bubble model, it can be shown that the model is equivalent to an auction, and bubbles arise for the same reason that bidding prices fail to reveal the true value in that auction. Several experiments on taxes and subsidies are devised to reduce or eliminate bubbles. Then I study the contagion of bankruptcy through downward price pressure among investors with overlapping portfolios. I calculate the probability of an extensive contagion and the expected bankruptcy rate during such a contagion. System-wide contagion happens only when the diversification of portfolios is in a certain range and...

Econometric Issues in the Analysis of Contagion

Pesaran, M. Hashem
Fonte: Universidade de Cambridge Publicador: Universidade de Cambridge
Tipo: Trabalho em Andamento Formato: 584790 bytes; application/pdf; application/pdf
EN_GB
Relevância na Pesquisa
37.38%
This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion can be distinguished from inter-dependence. In a two-country (market) set-up it is shown that for a range of fundamentals the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation properties with bimodel density functions. The extension of the model to herding behaviour is also briefly discussed. To identify contagion effects in the presence of inter-dependencies the equations for individual markets or countries must contain country (market) specific forcing variables. This sheds doubt on the general validity of the correlation based tests of contagions recently proposed in the literature which do not involve any country (market) specific fundamentals. We show that ignoring inter-dependence can introduce an upward bias in the estimate of the contagion coefficient, and using Monte Carlo experiments we show that this could be substantial.

Endogenous contagion ? a panel data analysis

Baur, Dirk; Fry, Renee
Fonte: CFAP, Cambridge Judge Business School, University of Cambridge Publicador: CFAP, Cambridge Judge Business School, University of Cambridge
Tipo: Working Paper; published version
EN
Relevância na Pesquisa
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This paper proposes a panel data model to analyze contagion in a multivariate framework. The model distinguishes between vulnerability and contagion, and provides a time series of contagion. The most important feature of the model is the endogenous determination of contagion without an a priori and potentially arbitrary specification of the crisis period. In addition, the model can distinguish between positive and negative contagion, and no assumption needs to be made about the source of the crisis. Eleven stock markets from the Asian region are analyzed during the Asian financial crisis, and contagion is found to be significant in four broad periods. These episodes are split equally between positive and negative movements. Anecdotal evidence is matched to the significant incidences of contagion, and it is found that events surrounding Hong Kong equity markets are key drivers of contagion.