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Consisting of contributed chapters by specialists drawn from top...
Consisting of contributed chapters by specialists drawn from top universities and key international financial institutions—including central banks, the International Monetary Fund, and the World Bank—this timely guide represents cutting-edge thinking about systemic risk.
Divided into six comprehensive sections, each preceded by a brief essay describing the chapters in that section, this volume takes an in-depth look at the key themes surrounding financial contagion—including correlation between or among affected domains, the avenues by which financial difficulty is transmitted, and the speed of spreading financial and economic distress. It also addresses how understanding these issues is of vital importance for the world's current and future economy.
Along the way, Financial Contagion:
Details the many dimensions of contagion in thefinancial crisis of 2007-2009
Provides a conceptual overview of the nature of contagion and the methods for identifying contagious episodes
Explores the question of contagion in the Asian financial crisis of 1997, tracing the agony of economic distress from the streets of Bangkok to the New York Federal Reserve Bank
Examines the phenomenon of contagion inemerging markets as well as the effect of contagion from large economies to emerging countries
Discusses regional contagion, and addresses instances of contagion that have occurred betweentwo countries through trade or financial linkages
Highlights examples of contagion within a singleeconomy
Understanding the various issues associated with financial contagion has become essential, especially with the recent episodes we've encountered, and in preparation for future crises we will face. Engaging and informative, Financial Contagion puts this concept in perspective and will put you in a better position to understand and assess the risks, costs, and consequences of financially catastrophic events.
PART ONE Contagion: Theory and Identification.
1 What Is Financial Contagion? (Robert W. Kolb).
2 Correlation Analysis of Financial Contagion (Giancarlo Corsetti, Marcello Pericoli, and Massimo Sbracia).
3 Uncertainty and Contagion (Prakash Kannan and Fritzi Koehler-Geib).
4 Contagion Dating through Market Interdependence Analysis and Correlation Stability (Monica Billio and Massimiliano Caporin).
5 Contagion or Interdependence: Does the Speed of the Transmission of Shocks Matter? (Stefanie Kleimeier, Thorsten Lehnert, and Willem F. C. Verschoor).
6 Modeling International Financial Markets Contagion: Using Copula and Risk Appetite (Sichong Chen and Ser-Huang Poon).
7 The Origins and Resolution of Financial Crises: A Policy Dilemma (Lars Oxelheim, Clas Wihlborg, and Finn Østrup).
8 Runs on Chartered and Shadow Banks: The Mechanics and Implications (Robert R. Bliss and George G. Kaufman).
9 Debt and Currency Crises (Christian Bauer, Bernhard Herz, and Volker Karb).
10 A Fixed-Time Effects Model of Contagion (Dirk G. Baur and Renée A. Fry).
11 Contagion or Interdependence in the Financial Markets of Asia, Latin America, and the United States: From Tequila Effect to the Subprime Crisis (Emerson Fernandes Marcal, Pedro L. Valls Pereira, Diogenes Manoel Leiva Martin, Wilson Toshiro Nakamura, and Wagner Oliveira Monteiro).
PART TWO Contagion and the Asian Financial Crisis.
12 Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Markets (Thomas C. Chiang, Bang Nam Jeon, and Huimin Li).
13 Contagion Effects, Informational Effects, and Economic Fundamentals: An Analysis of Exchange Rate Dynamics during the Asian Currency Crisis (Kam-hon Chu).
14 Contagion and the Transmission of Financial Crises (Mardi Dungey, Renee A. Fry, Brenda Gonz´alez-Hermosillo, Vance L. Martin, and Chrismin Tang).
15 The Russian Financial Crisis, U.S. Financial Stock Returns, and the InternationalMonetary Fund (M. Humayun Kabir and M. Kabir Hassan).
PART THREE Contagion and Emerging Markets.
16 Measuring Bulls and Bears Synchronization in East Asian Stock Markets (Bertrand Candelon, Stefan Straetmans, and Jan Piplack).
17 Linkages between Debt Markets in the United States and Emerging Economies (Guillermo Felices, Christian Grisse, and Jing Yang).
18 Financial Spillovers and Contagion from Mature to Emerging Stock Markets (John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas, and Nicola Spagnolo).
19 Is There Any Contagion in Emerging Debt Markets? (Iuliana Ismailescu and Hossein B. Kazemi).
20 Measuring Contagion in Emerging Market Bonds (Irina Bunda, A. Javier Hamann, and Subir Lall).
21 Risk Appetite and Emerging Market Spreads (Mart´in Gonz´alez-Rozada and Eduardo Levy Yeyati).
22 Emerging Countries' Sovereign Risk: Balance Sheet Effects, Global Risk Aversion, and Contagion (Alicia Garcia-Herrero).
23 Responses of Emerging Countries to the Global Financial Crisis (Tatiana Didier, Constantino Hevia, and Sergio L. Schmukler).
PART FOUR Contagion in the Financial Crisis of 2007–2009.
24 Contagion and the Real Economy during the Global Financial Crisis (Dirk G. Baur).
25 The Financial Crisis of 2008 and Subprime Securities (Gerald P. Dwyer and Paula A. Tkac).
26 The Transmission of Liquidity Shocks during the Financial Crisis of 2007–2009 (Nathaniel Frank, Brenda Gonzalez-Hermosillo, and Heiko Hesse).
27 Credit Contagion from Counterparty Risk (Philippe Jorion and Gaiyan Zhang).
28 Contagion and Spillover Effects of the U.S. Subprime Crisis: Evidence from International Stock Markets (Inchang Hwang, Francis In, and Tong Suk Kim).
29 Market or Bank Contagion: Evidence from the Market Crisis of 2007–2009 (William F. Johnson).
30 China, India, and the Global Financial Crisis of 2007–2009 (Shalendra D. Sharma).
31 Financial Contagion from the U.S. to Asian Markets in Global Financial Turmoil (Matthew S. Yiu, Wai-Yip Alex Ho, and Daniel F. S. Choi).
32 Signals of Global Financial Problems (John L. Simpson).
PART FIVE Regional Contagion.
33 Efficiency, Cointegration, and Contagion in East Asian Stock Markets: Implications for Investors and Policy Makers (A. S. M. Sohel Azad and Saad Azmat).
34 Regional Financial Interlinkages and Financial Contagion within Europe (Zsofia Arvai, Karl Driessen, and Inci Otker-Robe).
35 Domino Effects from Cross-Border Exposures (Hans Degryse, Muhammad Ather Elahi, and Maria Fabiana Penas).
36 Interbank Markets as a Source of Contagion (Rajkamal Iyer and Jose-Luis Peydro).
PART SIX Contagion within an Economy.
37 Cross-Border Lending Contagion in Multinational Banks (Alexis Derviz and Jiri Podpiera).
38 The Transmission of Speculative Bubbles between Sectors of the S&P 500 during the Tech Bubble (Keith Anderson, Chris Brooks, and Apostolos Katsaris).
39 Overlapping Boards of Directors: Causes and Consequences for Corporate Governance (Christa H. S. Bouwman).
40 The Credit Default Swap Market in Turmoil: The Case of the GM and Ford Crisis of 2005 (Virginie Coudert and Mathieu Gex).
41 Equity Market Contagion and Comovement: Industry Level Evidence (Kate Phylaktis and Lichuan Xia).
42 Price Contagion of Foreclosed Properties (Eric Rosenblatt and Vincent Yao).
43 Liquidity and Hedge Fund Contagion (Nicole M. Boyson and Christof W. Stahel).
44 No One Is Safe: Bankruptcy Spreads throughout an Economy (Harlan D. Platt, Marjorie A. Platt, and Sebahattin Demirkan).
45 The Contagion Effects of Accounting Restatements: A Summary (Nicole Thorne Jenkins).
46 Are Banks' Earnings Surprises Contagious? (Marcel Prokopczuk, CFA).