Journal of Risk Analysis and Crisis Response

Volume 2, Issue 3, December 2012, Pages 157 - 165

Crisis Transmission: Global Financial Crisis

Authors
Abdullah Alam
Corresponding Author
Abdullah Alam
Received 19 April 2012, Accepted 29 September 2012, Available Online 1 November 2012.
DOI
https://doi.org/10.2991/jrarc.2012.2.3.1How to use a DOI?
Keywords
Crisis Transmission, Global Financial Crisis, Competitive Devaluation Effect, Wake-up Call Effect, Cash-in Effect, Market Integration
Abstract
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.
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This is an open access article distributed under the CC BY-NC license.

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Journal
Journal of Risk Analysis and Crisis Response
Volume-Issue
2 - 3
Pages
157 - 165
Publication Date
2012/11
ISSN (Online)
2210-8505
ISSN (Print)
2210-8491
DOI
https://doi.org/10.2991/jrarc.2012.2.3.1How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - JOUR
AU  - Abdullah Alam
PY  - 2012
DA  - 2012/11
TI  - Crisis Transmission: Global Financial Crisis
JO  - Journal of Risk Analysis and Crisis Response
SP  - 157
EP  - 165
VL  - 2
IS  - 3
SN  - 2210-8505
UR  - https://doi.org/10.2991/jrarc.2012.2.3.1
DO  - https://doi.org/10.2991/jrarc.2012.2.3.1
ID  - Alam2012
ER  -