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Title: Contagion effects of the US subprime crisis in developed countries
Authors: Horta, Paulo
Mendes, Carlos
Vieira, Isabel
Editors: Richter, Christian
Caleiro, António
Vieira, Carlos
Vieira, Isabel
Keywords: financial contagion
Issue Date: 2010
Publisher: Lambert Academic Publishing
Citation: HORTA, P., MENDES, C. and VIEIRA, I. (2010) Contagion effects of the US subprime crisis in developed countries, in VIEIRA, I., CALEIRO, A.,VIEIRA, C and RICHTER, C. (eds.) Globalisation New Challenges: Macroeconomic, International Trade and Financial Issues, INFER Series in Applied Economics, Lambert Academic Publisher, Colónia, Alemanha, ISBN-10: 3838362500; ISBN-13: 978-3838362502
Abstract: This study assesses whether capital markets of developed countries reflect the effects of financial contagion from the US subprime crisis and, in such case, if the intensity of contagion differs across countries. Adopting a definition of contagion that relates the phenomenon to an increase of cross-market linkages following a shock, copula models are used to analyse how the connections between the US and each market in the sample, evolved from the pre-crisis to the crisis period. The results suggest that markets in Canada, Japan, Italy, France and the United Kingdom display significant levels of contagion, which are less relevant in Germany. Canada appears to be the country where the highest intensity of contagion is observed.
ISBN: ISBN-10: 3838362500;
ISBN-13: 978-3838362502
Type: bookPart
Appears in Collections:CEFAGE - Publicações - Capítulos de Livros

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