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Spatial Aspects of Contagion among Emerging Economies

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  • George Hondroyiannis
  • Harry Kelejian
  • George Tavlas

Abstract

Abstract A spatial model is used to specify and then test for the existence of contagion among emerging market economies. We consider both trade and regional channels of contagion. Our results suggest that contagion is a statistically significant factor in foreign exchange markets and, furthermore, its effects are not uniform across the countries considered. Our results also suggest that trade links are significant channels of contagion transmission; on the other hand, geographic distances do not appear to be significant channels of contagion transmission. We also report results which indicate the extent of contagion. These results relate to effects which emanate from one country to another. Aspects spatiaux de la contagion parmi les économies émergentes Résumé Nous faisons usage d'un modèle spatial pour spécifier, puis tester, l'existence d'une contagion parmi les économies des marchés émergents. Nous nous penchons sur les vecteurs commercial et régional de cette contagion. Nos résultats indiquent d'une part que la contagion est un facteur significatif sur le plan statistique dans les marchés à commerce extérieur, d'autre part que ses effets ne sont pas uniformes dans les pays examinés. Nos résultats nous permettent d'affirmer également que les relations commerciales sont des vecteurs significatifs de transmission de la contagion; par contre, les distances géographiques ne semblent pas être des vecteurs significatifs de transmission de la contagion. Nous présentons également des résultats qui soulignent l’étendue de la contagion: ces résultats portent sur les effets émanant d'un pays à un autre. Aspectos espaciales del contagio entre economias emergentes Résumén Se utiliza un modelo espacial para especificar, y luego se comprueba la existencia de contagio entre las economías de mercados emergentes. Consideramos canales de contagio, tanto comerciales como regionales. Nuestros resultados sugieren que el contagio es un factor estadísticamente significativo en los mercados de divisas, así como que sus efectos no son uniformes a través de los países considerados. Nuestros resultados también sugieren que los lazos comerciales son canales significativos para la transmisión de contagio; por otra parte, las distancias geográficas no parecen ser canales significativos de transmisión de contagio. También incluimos resultados que indican la extensión del contagio. Dichos resultados se relacionan con efectos que emanan de un país a otro.

Suggested Citation

  • George Hondroyiannis & Harry Kelejian & George Tavlas, 2009. "Spatial Aspects of Contagion among Emerging Economies," Spatial Economic Analysis, Taylor & Francis Journals, vol. 4(2), pages 191-211.
    • Handle: RePEc:taf:specan:v:4:y:2009:i:2:p:191-211
    DOI: 10.1080/17421770802625965
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    More about this item

    Keywords

    Contagion; Currency crises; Spatial Modelling; C10; F30; F32;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • F30 - International Economics - - International Finance - - - General
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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