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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Transmission of Financial Crises and Contagion: A Latent Factor Approach

Transmission of Financial Crises and Contagion: A Latent Factor Approach

Dungey, Mardi
Fry, Renee A.
Gonzalez-Hermosillo, Brenda

Hardcover

Series: Cerf Monographs on Finance and the Economy

Investing & FinanceLinguistics

ISBN10: 0199739838
ISBN13: 9780199739837
Publisher: Oxford University Press
Published: Jan 7 2011
Pages: 228
Weight: 1.05
Height: 0.80 Width: 6.10 Depth: 9.30
Language: English
Financial crises often transmit across geographical borders and different asset classes. Modeling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework encompasses a number of other empirical contagion models and why the results between the models differ. The book builds a framework which begins from considering contagion in the bond markets during 1997-1998 across a number of countries, and culminates in a model which encompasses multiple assets across multiple countries through over a decade of crisis events from East Asia in 1997-1998 to the sub prime crisis during 2008. Program code to support implementation of similar models is available.

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