• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Norges Handelshøyskole
  • Department of Business and Management Science
  • Discussion papers (FOR)
  • View Item
  •   Home
  • Norges Handelshøyskole
  • Department of Business and Management Science
  • Discussion papers (FOR)
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Measuring financial contagion by local Gaussian correlation

Støve, Bård; Tjøstheim, Dag; Hufthammer, Karl Ove
Working paper
Thumbnail
View/Open
dpfor2010-12.pdf (396.4Kb)
URI
http://hdl.handle.net/11250/164141
Date
2010-09
Metadata
Show full item record
Collections
  • Discussion papers (FOR) [556]
Abstract
This paper examines financial contagion, that is, whether the cross-market linkages

in financial markets increases after a shock to a country. We introduce the use of a

new measure of local dependence (introduced by Hufthammer and Tjøstheim (2009)) to

study the contagion effect. The central idea of the new approach is to approximate an

arbitrary bivariate return distribution by a family of Gaussian bivariate distributions.

At each point of the return distribution there is a Gaussian distribution that gives

a good approximation at that point. The correlation of the approximating Gaussian

distribution is taken as the local correlation in that neighbourhood. By examining the

local Gaussian correlation before the shock (in a stable period) and after the shock (in

the crisis period), we are able to test whether contagion has occurred by a proposed

bootstrap testing procedure. Examining the Mexican crisis of 1994, the Asian crisis

of 1997-1998 and the financial crisis of 2007-2009, we find some evidence of contagion

based on our new procedure.
Publisher
Norwegian School of Economics and Business Administration. Department of Finance and Management Science
Series
Discussion paper
2010:12

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit