Diagnosing the Source of Financial Market Shocks: An Application to the Asian Financial Crisis

22 Pages Posted: 16 Apr 2011

See all articles by Johannes W. Fedderke

Johannes W. Fedderke

Pennsylvania State University - School of International Affairs

Marina Marinkov

International Monetary Fund

Date Written: March 28, 2011

Abstract

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

Suggested Citation

Fedderke, Johannes W. and Marinkov, Marina, Diagnosing the Source of Financial Market Shocks: An Application to the Asian Financial Crisis (March 28, 2011). Available at SSRN: https://ssrn.com/abstract=1809868 or http://dx.doi.org/10.2139/ssrn.1809868

Johannes W. Fedderke (Contact Author)

Pennsylvania State University - School of International Affairs ( email )

Lewis Katz Building
University Park, PA 16802
United States

HOME PAGE: http://sia.psu.edu/faculty/johannes_fedderke

Marina Marinkov

International Monetary Fund ( email )

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