Are Financial Crises Becoming Increasingly More Contagious? What is the Historical Evidence on Contagion? /
Bordo, Michael D.
Are Financial Crises Becoming Increasingly More Contagious? What is the Historical Evidence on Contagion? / Michael D. Bordo, Antu P. Murshid. - Cambridge, Mass. National Bureau of Economic Research 2000. - 1 online resource: illustrations (black and white); - NBER working paper series no. w7900 . - Working Paper Series (National Bureau of Economic Research) no. w7900. .
September 2000.
We examine the evidence of contagion during the pre World War I era and the interwar and contrast our findings with the evidence of contagion from the recent crises in Asia and Latin America. Using weekly data on bond prices and interest rates, we investigate the extent to which bilateral cross-market correlations rise following the onset of a crisis. After correcting for heteroscedasticity, ala Forbes and Rigobon (1998, 1999), we find little evidence of significant increases in cross-market correlations in either the earlier regimes or in the more recent period. We use principle components analysis to assess the extent of comovement across all markets as well as within various groups of markets, prior to, and after the onset of a crisis. Countries are grouped into regions, as well as along the lines of advanced and emerging. There is little evidence to suggest that cross-country linkages are tighter in the aftermath of a financial crisis for the recent period. There is, however, some evidence of stronger comovement during periods of instability in earlier regimes.
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Mode of access: World Wide Web.
Are Financial Crises Becoming Increasingly More Contagious? What is the Historical Evidence on Contagion? / Michael D. Bordo, Antu P. Murshid. - Cambridge, Mass. National Bureau of Economic Research 2000. - 1 online resource: illustrations (black and white); - NBER working paper series no. w7900 . - Working Paper Series (National Bureau of Economic Research) no. w7900. .
September 2000.
We examine the evidence of contagion during the pre World War I era and the interwar and contrast our findings with the evidence of contagion from the recent crises in Asia and Latin America. Using weekly data on bond prices and interest rates, we investigate the extent to which bilateral cross-market correlations rise following the onset of a crisis. After correcting for heteroscedasticity, ala Forbes and Rigobon (1998, 1999), we find little evidence of significant increases in cross-market correlations in either the earlier regimes or in the more recent period. We use principle components analysis to assess the extent of comovement across all markets as well as within various groups of markets, prior to, and after the onset of a crisis. Countries are grouped into regions, as well as along the lines of advanced and emerging. There is little evidence to suggest that cross-country linkages are tighter in the aftermath of a financial crisis for the recent period. There is, however, some evidence of stronger comovement during periods of instability in earlier regimes.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.