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International crisis, instability periods and contagion: the case of the erm (2008).
| Content Provider | CiteSeerX |
|---|---|
| Author | Bacchiocchi, Emanuele Bevilacqua, Marta |
| Abstract | In this paper we propose a two step procedure for modelling the propagation of financial shocks. The first step consists in the estimation, by means of SWARCH models, of the conditional probability of being in a period of high volatility while, in the second step such indicators are included in a structural simultaneous models for interdependences among different countries. The results show that episodes of financial crisis effectively happened during periods of high volatility and that such measures of instability are important in explaining the propagation of devaluation expectations between six European Countries during the ERM period. JEL codes: Keywords: 1 |
| File Format | |
| Publisher Date | 2008-01-01 |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
