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Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion

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  • Candelon, Bertrand
  • Hecq, Alain
  • Verschoor, Willem F.C.

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  • Candelon, Bertrand & Hecq, Alain & Verschoor, Willem F.C., 2005. "Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1317-1334, December.
    • Handle: RePEc:eee:jimfin:v:24:y:2005:i:8:p:1317-1334
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    References listed on IDEAS

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    1. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-360, Oct.-Dec..
    2. Cubadda, Gianluca & Hecq, Alain, 2001. "On non-contemporaneous short-run co-movements," Economics Letters, Elsevier, vol. 73(3), pages 389-397, December.
    3. Kaminsky, Graciela L. & Reinhart, Carmen M., 2000. "On crises, contagion, and confusion," Journal of International Economics, Elsevier, vol. 51(1), pages 145-168, June.
    4. Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October.
    5. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-380, October.
    6. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1996. "Contagious Currency Crises," NBER Working Papers 5681, National Bureau of Economic Research, Inc.
    7. Kamin, Steven B., 1999. "The current international financial crisis:: how much is new?," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 501-514, August.
    8. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-395, October.
    9. Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005. "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December.
    10. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
    11. George Soros, 1999. "The International Financial Crisis," Challenge, Taylor & Francis Journals, vol. 42(2), pages 58-76, March.
    12. Hecq, Alain, 1998. "Does seasonal adjustment induce common cycles?," Economics Letters, Elsevier, vol. 59(3), pages 289-297, June.
    13. Campbell, Bryan & Dufour, Jean-Marie, 1997. "Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(1), pages 151-173, February.
    14. Anderson, Heather M. & Vahid, Farshid, 1998. "Testing multiple equation systems for common nonlinear components," Journal of Econometrics, Elsevier, vol. 84(1), pages 1-36, May.
    15. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
    16. repec:adr:anecst:y:1999:i:54:p:04 is not listed on IDEAS
    17. Calvo, Sara & Reinhart, Carmen, 1996. "Capital flows to Latin America : Is there evidence of contagion effects?," Policy Research Working Paper Series 1619, The World Bank.
    18. Michel Beine & Alain Hecq, 1999. "Inference in Codependence : Some Monte Carlo Results and Applications," Annals of Economics and Statistics, GENES, issue 54, pages 69-90.
    19. repec:bla:scandj:v:98:y:1996:i:4:p:463-84 is not listed on IDEAS
    20. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
    21. Steven B. Kamin, 1999. "The current international financial crisis: how much is new?," International Finance Discussion Papers 636, Board of Governors of the Federal Reserve System (U.S.).
    22. Alain Hecq & Franz C. Palm & Jean‐Pierre Urbain, 2000. "Permanent‐transitory Decomposition in Var Models With Cointegration and Common Cycles," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(4), pages 511-532, September.
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    24. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    25. Candelon Bertrand & Hecq Alain, 2002. "Multi-Regime Common Cyclical Features," Research Memorandum 054, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    26. Campbell, Bryan & Dufour, Jean-Marie, 1995. "Exact Nonparametric Orthogonality and Random Walk Tests," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 1-16, February.
    27. repec:bla:obuest:v:62:y:2000:i:4:p:511-32 is not listed on IDEAS
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