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The uncertainty channel of contagion /
The 2007 subprime crisis in the U.S. triggered a succession of financial crises around the globe, reigniting interest in the contagion phenomenon. Not all crises, however, are contagious. This paper models a new channel of contagion where the degree of anticipation of crises, through its impact on i...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2009.
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| Colección: | IMF working paper ;
WP/09/219. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Uncertainty Around the Period of the Thai Crisis; 2. Uncertainty Around the Period of the Argentine Crisis; II. Related Literature; III. Model; A. Environment; B. Information Structure; C. Timing; D. Investor's Problem; E. Firm's Problem; F. Endogenizing the Share of Informed Investors; G. Summary of Model and Testable Hypotheses; IV. Empirical Analysis; A. Methodology; B. Data; C. Results; 1. Step 1-Effect of Crisis in "Country A" on Uncertainty in "Country B."
- 2. Step 2-Effect of Uncertainty on Probability of Crisis, all Initial Crisis Countries3. Step 2-Effect of uncertainty on probability of crisis, without any interaction; 4. Marginal Effect of Uncertainty on the Probablity of a Crisis; V. Conclusion; VI. Appendix; 5. Sample of Countries; 6. List of Variables; 7. Step 2-Effect of Uncertainty on the Probablity of a Crisis, Restricting Attention to the Mexican, Russian and Thai Crises; 8. Step 2-Effect of Uncertainty on the Probablity of a Crisis, Additional Control for Common Overexposed Fund Investors; References; Footnotes.