Assessment of stock market contagion during the subprime mortgage crisis using GARCH-in-VAR model
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jaehong kim | - |
dc.contributor.author | 서병선 | - |
dc.date.accessioned | 2021-09-01T22:58:28Z | - |
dc.date.available | 2021-09-01T22:58:28Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2019 | - |
dc.identifier.issn | 1226-4261 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/69066 | - |
dc.description.abstract | In this paper, we provide an assessment of stock market contagionbased on the multivariate GARCH-in-VAR model, where the meanequation of VAR involves conditional volatility. Our specification ofGARCH-in-VAR can detect cross-market linkages by the risk-toreturnvolatility effect of the conditional volatility in VAR as well as thereturn-to-return interdependence effect of the structural shocks. Significant changes in interdependence and the volatility effectprovide important evidence for contagion caused by increases incross-market linkages through these two channels. Applying thisapproach to the subprime mortgage crisis, we examine whether thereexisted financial contagion between the stock markets of the U.S. andthose of the major countries in Asia, America, and Europe. Empiricalassessment confirms that most of the countries experienced contagionthrough either one of the two channels or through both channels, andthat through which channel the crisis is transmitted to a countrydepends on the country’s economic robustness and global financialmarket integration. The impact of a shock from the U.S. on othermarkets tends to be more pronounced and persistent when it ispropagated through the volatility effect than through interdependence. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | 한양대학교 경제연구소 | - |
dc.title | Assessment of stock market contagion during the subprime mortgage crisis using GARCH-in-VAR model | - |
dc.title.alternative | Assessment of stock market contagion during the subprime mortgage crisis using GARCH-in-VAR model | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 서병선 | - |
dc.identifier.doi | 10.17256/jer.2019.24.2.001 | - |
dc.identifier.bibliographicCitation | Journal of Economic Research (JER), v.24, no.2, pp.129 - 155 | - |
dc.relation.isPartOf | Journal of Economic Research (JER) | - |
dc.citation.title | Journal of Economic Research (JER) | - |
dc.citation.volume | 24 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 129 | - |
dc.citation.endPage | 155 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART002497621 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | contagion | - |
dc.subject.keywordAuthor | financial crisis | - |
dc.subject.keywordAuthor | GARCH-in-VAR | - |
dc.subject.keywordAuthor | volatility effect | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.