Crisis Transmission: Global Financial Crisis
The aim of this paper is to explore, empirically, the channels of crisis transmission with regard to the Global financial crisis. EMP-based crisis proxy is used for eight countries, which include Argentina, Brazil, Canada, Indonesia, Japan, Korea, Mexico and Russia. The period considered for estimat...
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| Format: | Article |
| Language: | English |
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Society for Risk Analysis - China
2012-11-01
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| Series: | Journal of Risk Analysis and Crisis Response (JRACR) |
| Subjects: | |
| Online Access: | https://www.atlantis-press.com/article/3939.pdf |
| _version_ | 1818533784783421440 |
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| author | Abdullah Alam |
| author_facet | Abdullah Alam |
| author_sort | Abdullah Alam |
| collection | DOAJ |
| description | The aim of this paper is to explore, empirically, the channels of crisis transmission with regard to the Global financial crisis. EMP-based crisis proxy is used for eight countries, which include Argentina, Brazil, Canada, Indonesia, Japan, Korea, Mexico and Russia. The period considered for estimation was Q1 2001 – Q2 2010. Based on the Vector AutoRegression (VAR) and Ordinary Least Squares (OLS) specification, it is concluded that the competitive devaluation effect did not play significant role in the transmission of the crisis. Wake-up call and Cashin effects were the major contributing transmission channels for Global financial crisis. Indonesia, Japan and Russia showed signs of wake-up call effect, whereas Brazil and Japan recorded cash-in effect. |
| first_indexed | 2024-12-11T18:03:19Z |
| format | Article |
| id | doaj.art-981338d0fcde497482baddeed11b18b8 |
| institution | Directory Open Access Journal |
| issn | 2210-8505 |
| language | English |
| last_indexed | 2024-12-11T18:03:19Z |
| publishDate | 2012-11-01 |
| publisher | Society for Risk Analysis - China |
| record_format | Article |
| series | Journal of Risk Analysis and Crisis Response (JRACR) |
| spelling | doaj.art-981338d0fcde497482baddeed11b18b82022-12-22T00:55:50ZengSociety for Risk Analysis - ChinaJournal of Risk Analysis and Crisis Response (JRACR)2210-85052012-11-012310.2991/jrarc.2012.2.3.1Crisis Transmission: Global Financial CrisisAbdullah AlamThe aim of this paper is to explore, empirically, the channels of crisis transmission with regard to the Global financial crisis. EMP-based crisis proxy is used for eight countries, which include Argentina, Brazil, Canada, Indonesia, Japan, Korea, Mexico and Russia. The period considered for estimation was Q1 2001 – Q2 2010. Based on the Vector AutoRegression (VAR) and Ordinary Least Squares (OLS) specification, it is concluded that the competitive devaluation effect did not play significant role in the transmission of the crisis. Wake-up call and Cashin effects were the major contributing transmission channels for Global financial crisis. Indonesia, Japan and Russia showed signs of wake-up call effect, whereas Brazil and Japan recorded cash-in effect.https://www.atlantis-press.com/article/3939.pdfCrisis TransmissionGlobal Financial CrisisCompetitive Devaluation EffectWake-up Call EffectCash-in EffectMarket Integration |
| spellingShingle | Abdullah Alam Crisis Transmission: Global Financial Crisis Journal of Risk Analysis and Crisis Response (JRACR) Crisis Transmission Global Financial Crisis Competitive Devaluation Effect Wake-up Call Effect Cash-in Effect Market Integration |
| title | Crisis Transmission: Global Financial Crisis |
| title_full | Crisis Transmission: Global Financial Crisis |
| title_fullStr | Crisis Transmission: Global Financial Crisis |
| title_full_unstemmed | Crisis Transmission: Global Financial Crisis |
| title_short | Crisis Transmission: Global Financial Crisis |
| title_sort | crisis transmission global financial crisis |
| topic | Crisis Transmission Global Financial Crisis Competitive Devaluation Effect Wake-up Call Effect Cash-in Effect Market Integration |
| url | https://www.atlantis-press.com/article/3939.pdf |
| work_keys_str_mv | AT abdullahalam crisistransmissionglobalfinancialcrisis |