Diagnosing the Source of Financial Market Shocks: An Application to the Asian Financial Crisis
22 Pages Posted: 16 Apr 2011
Date Written: March 28, 2011
This paper presents a diagnostic of the source of financial shocks (idionsyncratic country specific versus common fundamental), which is robust to a range of forms of crisis propagation across markets. Size and power characteristics of the test appear strong. An application of the proposed test statistic to the Asian financial crisis of 1997-98 confirms the tests empirical tractability.
Keywords: Diagnostic, Source of Fianncial Shocks, Financial Markets, Emerging Markets, Asian Crisis
JEL Classification: E44, E65, F33, G15, G14
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