Contagious Currency Crises: First Tests

Measuring Comovements by Regression Quantiles

“…Potential control variables could be, inter alia, interest rate and bond yield differentials, return volatilities or cross-border financial flows (an extensive list of potential control variables is given in Eichengreen et al, 1996). In equation (5) the dummy variable D t determining the crisis periods can be defined as those times where each control variable takes a value above it 100 × k th percentile (where k is defined as in Theorem 2, section 3.2).…”

Regional heterogeneity in the relationship between fiscal imbalances and foreign exchange market pressure

“…see Eichengreen et al, 1996). Admittedly, the approach is rather ad-hoc but it provides a realistic picture of FX conditions and is empirically relevant.…”

Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies

“…One group argues that the economic fundamentals of different countries are interconnected by their cross-border flows of goods, services, and capital. When a crisis originates in one country, this interdependence of economies through real and financial linkages becomes a carrier of crisis Glick and Rose, 1999;Rijckeghem and 1 For example, Eichengreen et al (1996) define contagion as a significant increase in the probability of a crisis in one country, conditional on a crisis observed in an origin country. Hamao et al (1990) refer to contagion as a volatility spillover from crisis country to other countries.…”

“…The initial empirical literature on financial crisis and contagion focused on fundamentals-based mechanisms and directed towards developing an early warning system (Eichengreen et al, 1996;Rijckeghem and Weder, 2001) while later empirical works are focused on investor behavior based mechanisms Dungey et al (2005); Bekaert et al (2011).…”