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Are financial spillovers stable across regimes?: Evidence from the 1997 Asian crisis

Lookup NU author(s): Professor Bartosz GebkaORCiD

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Abstract

We investigate breaks in financial spillovers between the US and eight South-East Asian capital markets before and during the 1997 Asian crisis. We construct threshold vector autoregressive models and apply novel techniques to test whether causality patterns between markets are characterized by one or two regimes. Linkages between the US and Asian markets are shown to follow the threshold model with two regimes, turmoil and tranquility, pointing to differences in cross-border return spillovers in stable and crisis periods. The causality analysis shows that spillovers between US and Asian markets become stronger in the turmoil regime.

Publication metadata

Author(s): Gebka B, Serwa D

Publication type: Article

Publication status: Published

Journal: Journal of International Financial Markets, Institutions and Money

Year: 2006

Volume: 16

Issue: 4

Pages: 301-317

ISSN (print): 1042-4431

ISSN (electronic): 1873-0612

Publisher: Elsevier BV, North-Holland

URL: http://dx.doi.org/10.1016/j.intfin.2005.03.002

DOI: 10.1016/j.intfin.2005.03.002

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