期刊名称:Discussion Papers / Business School, University of Strathclyde
出版年度:2004
卷号:2004
出版社:University of Strathclyde
摘要:This paper presents a methodology to identify contagion between exchange
market pressure events in different countries, based on a set of
seemingly unrelated probit equations. This technique allows us to separate
the transmission due to broadly defined macroeconomic interdependence,
and contagion due to herding, avoiding some of the caveats of the more
traditional cross-correlation approach.
We find evidence of pure contagion only for a limited number of country
pairs which, with few notable exceptions, belong to the same region.
In some instances, a reduction in speculative pressure can be identified
between countries located in different regions. This evidence seems to
suggests that the spreading of crises can be triggered by sudden shifts
in investors expectations after an initial crisis episode and that investors
tend to discriminate on the basis of location and common macroeconomic
weakness or perceived similarity.