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