资源描述：
《一个测量金融危机新方法.pdf》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、ANewApproachtoMeasuringFinancialContagionKee-HongBaeKoreaUniversityG.AndrewKarolyiOhioStateUniversityReneÂM.StulzOhioStateUniversityandNBERThisarticleproposesanewapproachtoevaluatecontagioninfinancialmarkets.Ourmeasureofcontagioncapturesthecoincidenceofextremere
2、turnshocksacrosscountrieswithinaregionandacrossregions.Wecharacterizetheextentofcontagion,itseconomicsignificance,anditsdeterminantsusingamultinomiallogisticregressionmodel.Applyingourapproachtodailyreturnsofemergingmarketsduringthe1990s,wefindthatcontagionispre
3、dictableanddependsonregionalinterestrates,exchangeratechanges,andconditionalstockreturnvolatility.Evidencethatcontagionisstrongerforextremenegativereturnsthanforextremepositivereturnsismixed.Since1997,economists,policymakers,andjournalistshavetalkedaboutthe``Asi
4、anflu.''IthasgenerallybeenperceivedthattheadversecurrencyandstockmarketshockthatfirstaffectedThailandinJuly1997propa-gatedacrosstheworldwithlittleregardforeconomicfundamentalsintheaffectedcountries.BeforetheAsianflu,therewasthe1994Mexican``Tequilacrisis,''andsin
5、cethen,the1998``Russianvirus.''Emergingmarketseconomiccrises,ingeneral,havebeencharacterizedascontagious.AccordingtoWebster'sdictionary,contagionisdefinedas``adiseasethatcanbecommunicatedrapidlythroughdirectorindirectcontact.''Emergingmarketseconomiccriseshavele
6、dtomassivebailoutstoquellcontagionandhavereducedsupportforfreecapitalmobility.BaeandKarolyigratefultotheDiceCenterforResearchonFinancialEconomicsforsupport;BaealsoappreciatesthefinancialsupportoftheSKResearchAward.WethankTomSantner,MarkBerliner,BobLeone,andStanL
7、emeshowforusefuldiscussionsonmethodology,SteveCecchetti,PeterChristoffersen,CraigDoidge,BarryEichengreen,VihangErrunza,DavidHirshleifer,MatthewPritsker,RobertoRigobon,RichardRoll,KarenWruck,and,especially,ananonymousreferee,andtheeditor,CamHarvey,forcomments.Com
8、mentsfromseminarparticipantsatHongKongUniversityofScienceandTechnology,KoreaUniversity,McGillUniversity,YaleUniversity,MichiganStateUniversity,UniversiteitMaastricht,
