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On Synchronisation of Financial Crises

Author

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  • Lestano
  • Mardi Dungey
  • Jan Jacobs

Abstract

This paper develops concordance indices for studying the simultaneous occurrence of financial crises across markets and/or countries. The typically low incidence of financial crises necessitates a change in the definition of concordance from those recently developed for the business cycle literature (Harding and Pagan (2002,2003)). We propose to confine attention to non-tranquil periods and study the properties of the revised index. An application to East Asian countries reveals the extent of concordance in crises by both asset market and cou

Suggested Citation

  • Lestano & Mardi Dungey & Jan Jacobs, 2004. "On Synchronisation of Financial Crises," Econometric Society 2004 Australasian Meetings 226, Econometric Society.
    • Handle: RePEc:ecm:ausm04:226
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    References listed on IDEAS

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    1. Graciela L. Kaminsky & Carmen Reinhart, 2003. "The Center and the Periphery: The Globalization of Financial Turmoil," NBER Working Papers 9479, National Bureau of Economic Research, Inc.
    2. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
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    4. Glick, Reuven & Rose, Andrew K., 1999. "Contagion and trade: Why are currency crises regional?," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 603-617, August.
    5. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
    6. G. Andrew Karolyi, 2003. "Does International Financial Contagion Really Exist?," International Finance, Wiley Blackwell, vol. 6(2), pages 179-199, July.
    7. Dungey, Mardi & Tambakis, Demosthenes N. (ed.), 2005. "Identifying International Financial Contagion: Progress and Challenges," OUP Catalogue, Oxford University Press, number 9780195187182.
    8. Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "Rating the Rating Agencies," MPRA Paper 24578, University Library of Munich, Germany.
    9. Zavkidjon Zavkiev, 2005. "Constructing A 2001 Social Accounting Matrix Of Tajikistan," CAMA Working Papers 2005-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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    11. Michael Bordo & Barry Eichengreen & Daniela Klingebiel & Maria Soledad Martinez-Peria, 2001. "Is the crisis problem growing more severe?," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 16(32), pages 52-82.
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    13. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
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    16. Paul Mizen (ed.), 2003. "Monetary History, Exchange Rates and Financial Markets," Books, Edward Elgar Publishing, number 2818.
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    Cited by:

    1. Zavkidjon Zavkiev, 2005. "Constructing A 2001 Social Accounting Matrix Of Tajikistan," CAMA Working Papers 2005-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

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    More about this item

    Keywords

    financial crisis; contagion; synchronisation; concordance;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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