Matches in SemOpenAlex for { <https://semopenalex.org/work/W2544156783> ?p ?o ?g. }
- W2544156783 endingPage "777" @default.
- W2544156783 startingPage "742" @default.
- W2544156783 abstract "Abstract This paper presents a test diagnostic that determines whether financial shocks are due to the propagation of idiosyncratic shocks originating in a single source country (or group of countries), or a reflection of market interdependence due to factors common across markets. The test is given by the ratio, λ , of the unconditional to the conditional correlation coefficient between markets. We demonstrate analytically that the test statistic is robust to heteroscedasticity due to conditional market volatility, to the impact of omitted variables (particularly important in the event that shocks may be transmitted between any two markets via a third ‘intermediate’ market) and to the impact of endogeneity between markets. Size and power characteristics of the test are strong. An application to the Asian financial crisis of 1997–1998, the subprime crisis of 2007 and the European crisis of 2009 demonstrates its empirical tractability. For the Asian and the subprime crises, the λ‐test suggests that propagation of shocks was predominantly due to common fundamentals: in the European crisis shock propagation by contrast is indicated to be due to idiosyncratic shocks centred on Cyprus, Greece and Latvia." @default.
- W2544156783 created "2016-11-04" @default.
- W2544156783 creator A5037244017 @default.
- W2544156783 creator A5057288345 @default.
- W2544156783 date "2016-10-06" @default.
- W2544156783 modified "2023-09-26" @default.
- W2544156783 title "Diagnosing the Source of Financial Market Shocks: An Application to the Asian, Subprime and European Financial Crises" @default.
- W2544156783 cites W1487015140 @default.
- W2544156783 cites W1518398713 @default.
- W2544156783 cites W1532783405 @default.
- W2544156783 cites W1537824135 @default.
- W2544156783 cites W1560885634 @default.
- W2544156783 cites W1574819366 @default.
- W2544156783 cites W1581492247 @default.
- W2544156783 cites W1750670032 @default.
- W2544156783 cites W1932037516 @default.
- W2544156783 cites W1942991521 @default.
- W2544156783 cites W1961734499 @default.
- W2544156783 cites W1963633325 @default.
- W2544156783 cites W1963912781 @default.
- W2544156783 cites W1966100523 @default.
- W2544156783 cites W1966910378 @default.
- W2544156783 cites W1974486301 @default.
- W2544156783 cites W1981655853 @default.
- W2544156783 cites W1985335623 @default.
- W2544156783 cites W1990631773 @default.
- W2544156783 cites W1991004523 @default.
- W2544156783 cites W1994110039 @default.
- W2544156783 cites W1998897826 @default.
- W2544156783 cites W1999554386 @default.
- W2544156783 cites W2015539243 @default.
- W2544156783 cites W2021652673 @default.
- W2544156783 cites W2032269423 @default.
- W2544156783 cites W2034707435 @default.
- W2544156783 cites W2037354020 @default.
- W2544156783 cites W2056138332 @default.
- W2544156783 cites W2057618763 @default.
- W2544156783 cites W2059758449 @default.
- W2544156783 cites W2062809408 @default.
- W2544156783 cites W2078568465 @default.
- W2544156783 cites W2079861595 @default.
- W2544156783 cites W2096162660 @default.
- W2544156783 cites W2101710459 @default.
- W2544156783 cites W2102653623 @default.
- W2544156783 cites W2113780281 @default.
- W2544156783 cites W2116690184 @default.
- W2544156783 cites W2118706420 @default.
- W2544156783 cites W2137200489 @default.
- W2544156783 cites W2137837447 @default.
- W2544156783 cites W2149908462 @default.
- W2544156783 cites W2166168879 @default.
- W2544156783 cites W2166422272 @default.
- W2544156783 cites W2171728272 @default.
- W2544156783 cites W2171745074 @default.
- W2544156783 cites W2800730551 @default.
- W2544156783 cites W2953993763 @default.
- W2544156783 cites W2954565761 @default.
- W2544156783 cites W3023929452 @default.
- W2544156783 cites W3121323861 @default.
- W2544156783 cites W3121583322 @default.
- W2544156783 cites W3121649760 @default.
- W2544156783 cites W3121667763 @default.
- W2544156783 cites W3121758033 @default.
- W2544156783 cites W3122722125 @default.
- W2544156783 cites W3123068586 @default.
- W2544156783 cites W3124124033 @default.
- W2544156783 cites W3124930022 @default.
- W2544156783 cites W3125305900 @default.
- W2544156783 cites W3125363688 @default.
- W2544156783 cites W3151933916 @default.
- W2544156783 cites W4230939740 @default.
- W2544156783 cites W4232172885 @default.
- W2544156783 cites W4361744910 @default.
- W2544156783 cites W96539725 @default.
- W2544156783 cites W3121870648 @default.
- W2544156783 doi "https://doi.org/10.1111/1468-0106.12162" @default.
- W2544156783 hasPublicationYear "2016" @default.
- W2544156783 type Work @default.
- W2544156783 sameAs 2544156783 @default.
- W2544156783 citedByCount "3" @default.
- W2544156783 countsByYear W25441567832018 @default.
- W2544156783 countsByYear W25441567832021 @default.
- W2544156783 countsByYear W25441567832022 @default.
- W2544156783 crossrefType "journal-article" @default.
- W2544156783 hasAuthorship W2544156783A5037244017 @default.
- W2544156783 hasAuthorship W2544156783A5057288345 @default.
- W2544156783 hasConcept C101104100 @default.
- W2544156783 hasConcept C10138342 @default.
- W2544156783 hasConcept C105795698 @default.
- W2544156783 hasConcept C106159729 @default.
- W2544156783 hasConcept C126322002 @default.
- W2544156783 hasConcept C139719470 @default.
- W2544156783 hasConcept C149782125 @default.
- W2544156783 hasConcept C162324750 @default.
- W2544156783 hasConcept C19244329 @default.
- W2544156783 hasConcept C2778300220 @default.
- W2544156783 hasConcept C2781300812 @default.
- W2544156783 hasConcept C2994123097 @default.