Contagion and Causality: An Empirical Investigation of Four Asian Crisis Episodes

S. Kleimeier, H. Sander

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47 Citations (Scopus)

Abstract

Our study extends on conventional measures of contagion by directly investigating changes in the existence and the directions of causality. In particular, we apply a granger-causality methodology on sovereign bond spreads as a measure of perceived country risk. For the asian crisis, we find evidence for new and changed causality patterns on a regional level. With the arrival of the russian crisis, causality patterns were changing not only on a regional but also on a global level.
Original languageEnglish
Pages (from-to)171-186
Number of pages16
JournalJournal of International Financial Markets, Institutions & Money
Volume13
Issue number2
DOIs
Publication statusPublished - 1 Jan 2003

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