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An Empirical Study on Contagion Effect of Financial Crises in Emerging Markets

Author: Liu
Tutor: YangDeQuan
School: Dalian University of Technology
Course: Finance
Keywords: Emerging markets Financial crisis Contagion effect
CLC: F224
Type: Master's thesis
Year: 2006
Downloads: 923
Quote: 11
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Abstract


Since the 1990s, the frequent outbreaks of emerging-market financial crisis has aroused extensive attention of the researchers of the financial crisis . 1992-1993 of the European exchange rate system crisis the Mexican financial crisis in 1994 and 1995 Southeast Asian financial crisis in 1997 and 1998 , the Russian financial crisis in 1998 or 2001 , the Argentine financial crisis , showed a very strong infectious. Posed a challenge to the traditional theory of the financial crisis as the salient features of the emerging-market financial crisis , the emergence of the contagion effect . Grasp the nature of the contagion effect of the financial crisis and its predisposing factors for developing countries to develop significant preventive measures to maintain the stability of the global financial system , but also in the context of economic integration and financial liberalization . In this paper, a comparative analysis of existing research , refining the definition of the contagion effect of the financial crisis , and qualitative analysis of the micro - and macro - foundation of the contagion effect of the financial crisis . Then, the article three times to the recent emerging market financial crisis ( Southeast Asian financial crisis , the Russian financial crisis and the Argentine financial crisis ) as an example , the use of vector autoregressive (VAR) contagion effect of the dynamic test results show that the three crises are significant contagion effects , especially in the Southeast Asian financial crisis is staggering . , The use three crisis of panel data proved the existence of a contagion effect on the basis of analysis of the potential causes of the contagion effect , summed up in three Contagion Effect common incentive for capital account status , the ratio of external debt to GDP , the degree of financial liberalization and trade status , which is the basis of the emerging markets to develop Contagion Effect precautions . According to the results of empirical research , the paper argues that the emerging markets to effectively prevent the contagion effect of the financial crisis must focus on improving the economic quality of the emerging markets , cautious liberalization of the financial markets and capital projects , as well as to strengthen international collaboration . For China, specific measures should include : implementation of sound macroeconomic policies ; cautious liberalization of the capital account ; enhance the strength of the financial system to withstand external shocks , as well as the establishment of early warning mechanisms .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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