Financial Contagion and International Portfolio Flows

Financial Analysts Journal

Volumn 58, Issue 1, 2002, Pages 35-49

  Van Royen, Anne Sophie ^a  

^a State Street Associates ^*  (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0348002876     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v58.n1.2508     Document Type: Article

References (16)

1. Berg, A., and C. Pattillo. 1998. "Are Currency Crises Predictable? A Test." International Monetary Fund Working Paper, WP/98/154.
2. Flood, R., and N. Marion. 1998. "Perspectives on the Recent Currency Crisis Literature." National Bureau of Economic Research Working Paper 6380.
3. Forbes, K., and R. Rigobon. 1998. "No Contagion, Only Interdependence: Measuring Stock Market Co-Movements." National Bureau of Economic Research Working Paper 7267.
4. Frankel, J., and A. Rose. 1996. "Currency Crashes in Emerging Markets: Empirical Indicators." Journal of International Economics, vol. 41, nos. 3-4 (November):351-368.
5. Froot, K., P. O'Connell, and M. Seasholes. 2001. "The Portfolio Flows of International Investors." Journal of Financial Economics, vol. 59, no. 2 (February):151-193.
6. Glick, R., and A. Rose. 1998. "Contagion and Trade: Why Are Currency Crises Regional?" National Bureau of Economic Research Working Paper 6806.
7. Hamilton, J. 1994. "Modeling Time Series with Changes in Regime." In Time Series Analysis, Chapter 22. Princeton, NJ: Princeton University Press:677-703.
8. Hausman, J.A. 1978. "Specification Tests in Econometrics." Econometrica, vol. 46, no. 6 (November):1251-72.
9. Kaminsky, G., S. Lizondo, and C. Reinhart. 1997. "Leading Indicators of Currency Crises." International Monetary Fund Working Paper, WP/97/79.
10. Longin, F., and B. Solnik. 2001 "Extreme Correlation of International Equity Markets." Journal of Finance, vol. 56, no. 2 (April):649-676.
11. Masson, P. 1998. "Contagion: Monsoonal Effects, Spillovers and Jumps between Equilibria." International Monetary Fund Working Paper, WP/98/142.
12. Pedersen, T. 2001. "The Hodrick-Prescott Filter, the Slutzky Effect, and the Distortionary Effect of Filters." Journal of Economic Dynamics and Control, vol. 25, no. 8 (August):1081-1101.
13. Rigobon, R. 1999a. "On the Measurement of the International Propagation of Shocks." National Bureau of Economic Research Working Paper 7354.
14. _. 1999b. "Identification through Heteroskedasticity: Measuring Contagion between Argentinean and Mexican Sovereign Bonds." Working paper, Massachusetts Institute of Technology.
15. _. 2000. "A Simple Test for Stability of Linear Models under Heteroskedasticity, Omitted Variable, and Endogenous Variable Problems." Working paper, Massachusetts Institute of Technology.
16. Sharma, S. 1999. "The Challenge of Predicting Economic Crises." Finance and Development, vol. 36, no. 2 (June):40-42.