The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

Authors

  • Essahbi Essaadi Unité d'Analyse Quantitative Appliquée (UAQUAP)-ISG, Tunisie; GATE-Lyon 2 (UMR 5824 CNRS), 25 Rue Kamel Attaturk Bardo 2000, Tunisia
  • Jamel Jouini Université 7 Novembre de Carthage, F.S.E.G.N., E.S.S.A.I. and L.E.G.I., Tunisie; Université de la Méditerranée, GREQAM, France
  • Wajih Khallouli Université de Tunis, Unité d'Analyse Quantitative Appliquée (UAQUAP) and ESSEC, Tunisie

DOI:

https://doi.org/10.2298/PAN0902241E

Keywords:

Shift-contagion, Time-varying correlation, Sequential selection procedure

Abstract

In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron’s (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.

Key words: Shift-contagion, Time-varying correlation, Sequential selection procedure.
JEL: C22, G15.

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Published

2009-10-10

How to Cite

Essaadi, E., Jouini, J., & Khallouli, W. (2009). The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis. Panoeconomicus, 56(2), 241–260. https://doi.org/10.2298/PAN0902241E

Issue

Vol. 56 No. 2 (2009)

Section

Original scientific paper