Asset prices and output growth volatility: the effects of financial crises

被引：10
作者：
Caporale, GM
Spagnolo, N
机构：
[1] S Bank Univ, Ctr Monetary & Financial Econ, London SE1 0AA, England
[2] Brunel Univ, Dept Econ & Finance, London, England
来源：
ECONOMICS LETTERS | 2003年 / 79卷 / 01期
关键词：
multivariate GARCH; stock prices; output growth; volatility; financial crises;
D O I：
10.1016/S0165-1765(02)00289-6
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we investigate the real effects of financial crises. Empirical evidence on the consequences of the 1997 East Asian crisis for the casual relationship between stock prices and output growth volatility is provided. The effects of the crisis on cross-market volatility spillovers have been taken into account by including a dummy variable in the conditional variance specification. (C) 2002 Elsevier Science B.V. All rights reserved.
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页码：69 / 74
页数：6
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