Channels of financial market contagion

Authors: Collins, Daryl; Gavron, Shãna

Source: Applied Economics, Volume 36, Number 21, December 10, 2004 , pp. 2461-2469(9)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

This study aims to fill a gap in the current literature by determining which channels of financial contagion are the most significant in transmitting crises between countries. Initial results, using  2 contingency tables, indicate that there is a significant relationship between contagion and the inflation rate and between contagion and financial liquidity. A simultaneous comparison of the channels is then performed using a series of best subset logit regressions. These suggest that a combination of high inflation and an emerging market classification form the most significant subset in increasing the probability of a contagious event.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/0003684042000287628

Publication date: December 1, 2004

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