Joint Tests of Contagion with Applications to Financial Crises

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dc.contributor.authorFry-McKibbin, Renee
dc.contributor.authorHsiao, Cody Yu-Ling
dc.contributor.authorMartin, Vance L.
dc.date.accessioned2021-04-20T23:29:57Z
dc.date.available2021-04-20T23:29:57Z
dc.date.issued2017-03
dc.description.abstractJoint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, cokurtosis and covolatility. Finite sample properties of the new tests are evaluated and compared with existing tests of contagion that focus on a single channel. Applying the tests to daily Eurozone equity returns from 2005 to 2014 shows that contagion operates through higher order moment channels during the GFC and the European debt crisis, which are not necessarily detected by traditional tests based on correlations.en_AU
dc.description.sponsorshipThe authors gratefully acknowledge ARC Discovery Project DP160102350 and DP0985783 funding.en_AU
dc.format.extent39 pagesen_AU
dc.identifier.issn2206-0332en_AU
dc.identifier.urihttp://hdl.handle.net/1885/230423
dc.publisherCentre for Applied Macroeconomic Analysisen_AU
dc.relationhttp://purl.org/au-research/grants/arc/DP160102350en_AU
dc.relationhttp://purl.org/au-research/grants/arc/DP0985783en_AU
dc.relation.ispartofseriesCAMA Working Paper 23/2017en_AU
dc.rights© 2017en_AU
dc.source.urihttps://crawford.anu.edu.au/publication/cama-working-paper-series/9470/joint-tests-contagion-applications-financial-crisesen_AU
dc.subjectCoskewnessen_AU
dc.subjectCokurtosisen_AU
dc.subjectCovolatilityen_AU
dc.subjectLagrange multiplier testsen_AU
dc.subjectEuropean debt crisisen_AU
dc.subjectequity marketsen_AU
dc.titleJoint Tests of Contagion with Applications to Financial Crisesen_AU
dc.typeWorking/Technical Paperen_AU
dcterms.accessRightsOpen Accessen_AU
local.contributor.affiliationFry-McKibbin, Renee, Centre for Applied Macroeconomic Analysis, ANUen_AU
local.contributor.affiliationHsiao, Cody Yu-Ling, Macau University of Science and Technologyen_AU
local.contributor.affiliationMartin, Vance L., The University of Melbourneen_AU
local.contributor.authoruidFry-McKibbin, Renee,en_AU
local.publisher.urlhttps://cama.crawford.anu.edu.au/en_AU
local.type.statusSubmitted Versionen_AU

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