The Asian crisis contagion: A dynamic correlation approach analysis

In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron's (1998) structural break approach...

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Bibliographic Details
Main Authors: Essaadi Essahbi, Jouini Jamel, Khallouli Wajih
Format: Article
Language:English
Published: Economists' Association of Vojvodina 2009-01-01
Series:Panoeconomicus
Subjects:
Online Access:http://www.doiserbia.nb.rs/img/doi/1452-595X/2009/1452-595X0902241E.pdf