Volume 2, Issue 3, December 2012, Pages 157 - 165
Crisis Transmission: Global Financial Crisis
Received 19 April 2012, Accepted 29 September 2012, Available Online 1 November 2012.
- https://doi.org/10.2991/jrarc.2012.2.3.1How to use a DOI?
- Crisis Transmission, Global Financial Crisis, Competitive Devaluation Effect, Wake-up Call Effect, Cash-in Effect, Market Integration
- 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.
- 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 -