Endogenous crisis dating and contagion using smooth transition structural GARCH

被引：42
作者：
Dungey, Mardi [1 ]
Milunovich, George [2 ]
Thorp, Susan [3 ]
Yang, Minxian [4 ]
机构：
[1] Univ Tasmania, Tasmanian Sch Business & Econ, Hobart, Tas 7001, Australia
[2] Macquarie Univ, Dept Econ, N Ryde, NSW 2109, Australia
[3] Univ Sydney, Sch Business, Discipline Finance, Sydney, NSW 2006, Australia
[4] Univ New S Wales, Sch Econ, Sydney, NSW 2052, Australia
来源：
JOURNAL OF BANKING & FINANCE | 2015年 / 58卷
基金：
澳大利亚研究理事会;
关键词：
Contagion; Structural GARCH; Global Financial Crisis; FINANCIAL CRISIS; BANK PERFORMANCE; GREAT RECESSION; SUBPRIME; MARKET; TIME; IDENTIFICATION; NORMALITY; SHOCKS; TESTS;
D O I：
10.1016/j.jbankfin.2015.04.006
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Detecting contagion during financial crises requires the demarcation of crisis periods. We develop a method for endogenously dating both the start and finish of crises, along with measuring contagion effects. Identification is achieved by coupling smooth transition functions with structural GARCH. In an application to US equity, bond and REIT returns for 2001-2010, we identify four phases; a pre-crisis period to July 2007, two phases of crisis up to and following October 2008, and a post-crisis phase from mid-May 2009. We detect significant contagion during the crisis and find evidence that the post-crisis period has not returned to pre-crisis relations. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：71 / 79
页数：9
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