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.
|Number of pages||16|
|Journal||Journal of International Financial Markets, Institutions & Money|
|Publication status||Published - 1 Jan 2003|