Crisis Transmission: Global Financial Crisis

DOI

10.2991/jrarc.2012.2.3.1How to use a DOI?

Keywords

Crisis Transmission, Global Financial Crisis, Competitive Devaluation Effect, Wake-up Call Effect, Cash-in Effect, Market Integration

Abstract

The aim of this paper is to explore, empirically, the channels of crisis transmission with regard to the Global financial crisis. EMP-based crisis proxy is used for eight countries, which include Argentina, Brazil, Canada, Indonesia, Japan, Korea, Mexico and Russia. The period considered for estimation was Q1 2001 – Q2 2010. Based on the Vector AutoRegression (VAR) and Ordinary Least Squares (OLS) specification, it is concluded that the competitive devaluation effect did not play significant role in the transmission of the crisis. Wake-up call and Cashin effects were the major contributing transmission channels for Global financial crisis. Indonesia, Japan and Russia showed signs of wake-up call effect, whereas Brazil and Japan recorded cash-in effect.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - JOUR
AU  - Abdullah Alam
PY  - 2012
DA  - 2012/11/01
TI  - Crisis Transmission: Global Financial Crisis
JO  - Journal of Risk Analysis and Crisis Response
SP  - 157
EP  - 165
VL  - 2
IS  - 3
SN  - 2210-8505
UR  - https://doi.org/10.2991/jrarc.2012.2.3.1
DO  - 10.2991/jrarc.2012.2.3.1
ID  - Alam2012
ER  -