Fatal Attraction [Elektronisk resurs] A New Measure of Contagion / Tamim Bayoumi.
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Bayoumi, Tamim. (författare)
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Bayoumi, Tamim. (författare)
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Fazio, Giorgio. (författare)
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Kumar, Manmohan S. (författare)
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MacDonald, Ronald. (författare)
- ISBN 1451850328
- Publicerad: Washington, D.C. International Monetary Fund, 2003
- Engelska 1 online resource (21 p.)
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Serie: IMF Working Papers; Working Paper, 1018-5941 ; No. 03/80
- Relaterad länk:
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http://www.imfbookst... (IMF Book Store)
Sammanfattning
Ämnesord
Stäng
- This paper proposes a new measure of contagion that is good at anticipating future vulnerabilities. Building on previous work, it uses correlations of equity markets across countries to measure contagion, but in a departure from previous practice it measures contagion using the relationship of these correlations with distance. Also in contrast to previous work, our test is good at identifying periods of "positive contagion," in which capital flows to emerging markets in a herd-like manner, largely unrelated to fundamentals. Identifying such periods of "fatal attraction" is important as they provide the essential ingredients for subsequent crises and rapid outflows of capital.
Ämnesord
- Asian Crisis (imf)
- Contagion (imf)
- Correlation (imf)
- Correlations (imf)
- Currency Crises (imf)
- Emerging Market Crises (imf)
- Argentina (imf)
- Thailand (imf)
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