The Shift-Contagion Effect Of Global Financial Crisis And The European Sovereign Debt Crisis On OECD Countries
| Autor: | Farhan Akbar, Irfan Akbar Kazi, Mohamed Mehanaoui |
|---|---|
| Přispěvatelé: | EconomiX, Université Paris Nanterre (UPN)-Centre National de la Recherche Scientifique (CNRS), HAL Nanterre, Administrateur |
| Jazyk: | angličtina |
| Rok vydání: | 2013 |
| Předmět: |
050208 finance
Contagion effect 05 social sciences Financial system Oecd countries [SHS.ECO]Humanities and Social Sciences/Economics and Finance 0502 economics and business 8. Economic growth Financial crisis Economics 050207 economics Business and International Management [SHS.ECO] Humanities and Social Sciences/Economics and Finance European debt crisis |
| Zdroj: | Journal of Applied Business Research Journal of Applied Business Research, Clute Institute, 2013, 30 Journal of Applied Business Research, 2013, 30 |
| ISSN: | 0892-7626 |
| Popis: | This article investigates shift-contagion as defined by Forbes and Rigobon (2002) in 16 OECD member economies during most recent financial crisis i.e. global financial crisis (2008-2009) and European sovereign debt crisis (2009-2012), using multivariate asymmetric dynamic conditional correlation model developed by Cappiello et al. (2006). The empirical analyses provide substantial evidence of shifts in the dynamic correlations and hence reconfirm shift-contagion during the global financial crisis that originated from U.S. However, there is no evidence in support of shift-contagion during the European sovereign debt crisis which originated from events in Greece. The results provide important implications for investors and policy makers. |
| Databáze: | OpenAIRE |
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