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An Alternative Method to Test for Contagion with an Application to the Asian Financial Crisis
Jönköping University, Jönköping International Business School, JIBS, Economics.
2005 (English)In: Applied Financial Economics Letters, ISSN 1744-6546, Vol. 1, no 6, p. 343-347Article in journal (Refereed) Published
Abstract [en]

This paper investigates the size properties of a test for contagion based on an asymptotic t -distribution. The simulations show that this asymptotic test does not have correct size properties. An alternative test method based on case-resampling bootstrapping is introduced to improve on the correctness of inference. The simulations show that this new test has much better size properties. It also has quite high power properties and it is robust to ARCH effects. The method is applied to testing for contagion from Thailand to Indonesia during the Asian financial crisis.

Place, publisher, year, edition, pages
2005. Vol. 1, no 6, p. 343-347
Keywords [en]
Contagion, Case-resampling Bootstrap, Dependency, Asian Crisis
National Category
Economics Economics
Identifiers
URN: urn:nbn:se:hj:diva-2596DOI: doi:10.1080/17446540500393468OAI: oai:DiVA.org:hj-2596DiVA, id: diva2:33416
Available from: 2007-06-15 Created: 2007-06-15Bibliographically approved

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Publisher's full texthttp://www.informaworld.com/smpp/content~content=a727686263

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Hacker, R Scott

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  • apa
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