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Actually this Time is DifferentRenee FryAustralian National University (ANU) - Department of Economics Cody Yu-Ling HsiaoAustralian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA); Australian National University (ANU) - School of Economics Chrismin TangLa Trobe University May 1, 2011 Centre for Applied Microeconomic Analysis (CAMA) Working Paper No. 12/2011 Abstract: Episodes of extraordinary turbulence in global financial markets are examined during eight crises ranging from Asia in 1997-98 to the recent great recession of 2008-10. The analysis focuses on changes in the dependence structures of equity markets through correlation and coskewness to answer the question of whether the great recession is different to other crises in terms of shock transmission through contagion. The results show that ‘this time is different’ and that the great recession is truly a global financial crisis. Other US sourced crises do not affect other markets through contagion, and emerging market crises transmit unexpectedly.
Number of Pages in PDF File: 40 Keywords: Contagion Testing, Correlation, Coskewness, Asian Crisis, Russian Crisis, LTCM Crisis, Brazil Crisis, Dot-Com Crisis, Argentinian Crisis, Sub-Prime Crisis, Great Recession, Global Financial Crisis working papers seriesDate posted: June 13, 2011Suggested CitationContact Information
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