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Pure Contagion and Investors Shifting Risk Appetite: Analytical Issues and Empirical Evidence

Citations

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Cited by:

  1. Valpy Fitzgerald, 2002. "The Instability of the Emerging Market Assets Demand Schedule," WIDER Working Paper Series DP2002-80, World Institute for Development Economic Research (UNU-WIDER).
  2. Marcello Pericoli & Massimo Sbracia, 2009. "Capital Asset Pricing Model and the Risk Appetite Index: Theoretical Differences, Empirical Similarities and Implementation Problems," International Finance, Wiley Blackwell, vol. 12(2), pages 123-150, August.
  3. Bunda, Irina & Hamann, A. Javier & Lall, Subir, 2009. "Correlations in emerging market bonds: The role of local and global factors," Emerging Markets Review, Elsevier, vol. 10(2), pages 67-96, June.
  4. Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2013. "Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 46-56.
  5. Philippe Dupuy, 2009. "Pure Indicator Of Risk Appetite," Australian Economic Papers, Wiley Blackwell, vol. 48(1), pages 18-33, March.
  6. Valpy FitzGerald & Derya Krolzig, 2004. "Modelling the demand for emerging market assets," Money Macro and Finance (MMF) Research Group Conference 2003 29, Money Macro and Finance Research Group.
  7. Sukriye Tuysuz, 2012. "How have the Turkish post-2001 stabilization reforms impacted on the conditional correlation between the Turkish and the main foreign stock markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 22(22), pages 1881-1898, November.
  8. Mr. Alessandro Rebucci & Mr. Matteo Ciccarelli, 2003. "Measuring Contagion with a Bayesian Time-Varying Coefficient Model," IMF Working Papers 2003/171, International Monetary Fund.
  9. Zouheir Mighri & Faysal Mansouri, 2014. "Modeling international stock market contagion using multivariate fractionally integrated APARCH approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-25, December.
  10. Jinhui Luo & Philip Saks & Steve Satchell, 2009. "Implementing risk appetite in the management of currency portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 9(6), pages 380-397, February.
  11. Sercan Demiralay & Veysel Ulusoy, 2017. "How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?," Manchester School, University of Manchester, vol. 85(6), pages 765-794, December.
  12. Ana-Maria Fuertes & Elena Kalotychou, 2004. "Forecasting sovereign default using panel models: A comparative analysis," Computing in Economics and Finance 2004 228, Society for Computational Economics.
  13. Ayadi, Mohamed & Khallouli, Wajih & Sandretto, René, 2006. "Les déterminants des crises financières récentes des pays émergents," L'Actualité Economique, Société Canadienne de Science Economique, vol. 82(3), pages 341-376, septembre.
  14. Marcello Pericoli & Massimo Sbracia, 2006. "The CAPM and the risk appetite index; theoretical differences and empirical similarities," Temi di discussione (Economic working papers) 586, Bank of Italy, Economic Research and International Relations Area.
  15. Valpy FitzGerald & Derya Krolzig, 2003. "Modeling the Demand for Emerging Market Assets," OFRC Working Papers Series 2003fe10, Oxford Financial Research Centre.
  16. Eswar S. Prasad & Kenneth Rogoff & Shang-Jin Wei & M. Ayhan Kose, 2007. "Financial Globalization, Growth and Volatility in Developing Countries," NBER Chapters, in: Globalization and Poverty, pages 457-516, National Bureau of Economic Research, Inc.
  17. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance, 2006. "Contagion in international bond markets during the Russian and the LTCM crises," Journal of Financial Stability, Elsevier, vol. 2(1), pages 1-27, April.
  18. S Griffith-Jones (IDS, University of Sussex) and J Leape (LSE), "undated". "Capital Flows to developing countries: does the emperor have clothes?," QEH Working Papers qehwps89, Queen Elizabeth House, University of Oxford.
  19. Broner, Fernando A. & Gaston Gelos, R. & Reinhart, Carmen M., 2006. "When in peril, retrench: Testing the portfolio channel of contagion," Journal of International Economics, Elsevier, vol. 69(1), pages 203-230, June.
  20. Ms. Brenda Gonzalez-Hermosillo & Mr. Vance Martin & Ms. Renee Fry & Mr. Mardi Dungey, 2003. "Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998," IMF Working Papers 2003/084, International Monetary Fund.
  21. Kenneth A. Froot & Paul G. J. O'Connell, 2003. "The Risk Tolerance of International Investors," NBER Working Papers 10157, National Bureau of Economic Research, Inc.
  22. Sofia Babilis & Valpy Fitzgerald, 2005. "Risk Appetite, Home Bias and the Unstable Demand for Emerging Market Assets," International Review of Applied Economics, Taylor & Francis Journals, vol. 19(4), pages 459-476.
  23. Matteo Cominetta, 2016. "Financial Contagion: A New Perspective (and a New Test)," Working Papers 12, European Stability Mechanism.
  24. Mr. Tamim Bayoumi & Mr. Manmohan S. Kumar & Mr. Giorgio Fazio & Mr. Ronald MacDonald, 2003. "Fatal Attraction: A New Measure of Contagion," IMF Working Papers 2003/080, International Monetary Fund.
  25. Aguiar, Mark & Gopinath, Gita, 2006. "Defaultable debt, interest rates and the current account," Journal of International Economics, Elsevier, vol. 69(1), pages 64-83, June.
  26. Ms. Renee Fry & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo & Mr. Mardi Dungey, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 2002/074, International Monetary Fund.
  27. Zhang, Yi & Zhou, Long & Wu, Baoxiu & Liu, Fang, 2024. "Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  28. Chen, Chun-Da & Chiang, Shu-Mei & Huang, Tze-Chin, 2020. "The contagion effects of volatility indices across the U.S. and Europe," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  29. Mark Illing & Ying Liu, 2003. "An Index of Financial Stress for Canada," Staff Working Papers 03-14, Bank of Canada.
  30. Carlo Favero & Iryna Kaminska & Ulf Soderstrom, 2005. "The Predictive Power of the Yield Spread: Further Evidence and a Structural Interpretation," Working Papers 280, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  31. International Monetary Fund, 2004. "When in Peril, Retrench: Testing the Portfolio Channel of Contagion," IMF Working Papers 2004/131, International Monetary Fund.
  32. Antonios K. Alexandridis & Mohammad S. Hasan, 2020. "Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 518-546, October.
  33. Irina Bunda & A. Javier Hamann & Subir Lall, 2007. "Emerging Debt Markets: What Do Correlations and Spreads Tell Us?," Post-Print halshs-00424468, HAL.
  34. Ayesha Sarwat & Dr. Hameeda Akhtar, 2023. "Non-Financial Markets and Interconnectedness between US and Emerging Financial Economies: Evidence from Covid-19 Financial Crisis," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(4), pages 238-253.
  35. Edina Berlinger & Barbara Dömötör & Ferenc Illés & Kata Váradi, 2016. "Stress Indicator for Clearing Houses," Central European Business Review, Prague University of Economics and Business, vol. 2016(4), pages 47-60.
  36. Berlinger, Edina & Váradi, Kata & Dömötör, Barbara & Illés, Ferenc, 2016. "A tőzsdei elszámolóházak vesztesége [The loss from central clearing houses]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 993-1010.
  37. Irina Bunda & A. Javier Hamann & Subir Lall, 2005. "Comovements In Emerging Market Bond Returns: An Empirical Assessment," Post-Print halshs-00424466, HAL.
  38. Sinta, Nur, 2018. "Endogenous and Exogenous Explanations for the Financial Crises in Mexico, SE Asian and Russia," MPRA Paper 92896, University Library of Munich, Germany.
  39. Craig S. Hakkio & William R. Keeton, 2009. "Financial stress: what is it, how can it be measured, and why does it matter?," Economic Review, Federal Reserve Bank of Kansas City, vol. 94(Q II), pages 5-50.
  40. Mr. Armando Méndez Morales & Miss Liliana B Schumacher, 2003. "Market Volatility As a Financial Soundness Indicator: An Application to Israel," IMF Working Papers 2003/047, International Monetary Fund.
  41. Ms. Brenda Gonzalez-Hermosillo & Mr. Vance Martin & Mr. Mardi Dungey & Ms. Renee Fry, 2003. "Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises," IMF Working Papers 2003/251, International Monetary Fund.
  42. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  43. Thi Bich Ngoc TRAN, 2018. "Contagion Risks in Emerging Stock Markets: New Evidence from Asia and Latin America," JRFM, MDPI, vol. 11(4), pages 1-20, December.
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