Estimation and Prediction of Financial Contagion through Trade
Abstract/Contents
- Abstract
- This presents a panel estimation model to the contagious effects resulting from financial integration and investigates the channels and conditions under which contagion can be distinguished from interdependence and random shocks. The identification strategy for contagion is pursued by controlling for bilateral trade links among countries. To identify contagion effects in the presence of interdependencies and random shocks the equations for individual countries contain country specific forcing fundamental variables. These variables are applied towards the construction of a time series reflecting the Country Pressure Index. Linear regression and predictive estimation is applied towards understanding the financial linkages of the different countries with their trade partners. Evidence is found that trade is an important determinant of financial markets integration and can sufficiently explain extreme conditions. Several predictive results are drawn to show the trend toward financial globalization and drawing results on sources of contagion for the Southeast Asian and Pacific countries.
Description
| Type of resource | text |
|---|---|
| Date created | May 2010 |
Creators/Contributors
| Author | Georgoudis, Paris | |
|---|---|---|
| Primary advisor | Harding, Matthew | |
| Degree granting institution | Stanford University, Department of Economics |
Subjects
| Subject | Stanford Department of Economics |
|---|---|
| Genre | Thesis |
Bibliographic information
| Related item | |
|---|---|
| Location | https://purl.stanford.edu/sv265bx7525 |
Access conditions
- Use and reproduction
- User agrees that, where applicable, content will not be used to identify or to otherwise infringe the privacy or confidentiality rights of individuals. Content distributed via the Stanford Digital Repository may be subject to additional license and use restrictions applied by the depositor.
Preferred citation
- Preferred Citation
- Georgoudis, Paris. (2010). Estimation and Prediction of Financial Contagion through Trade. Stanford Digital Repository. Available at: https://purl.stanford.edu/sv265bx7525
Collection
Stanford University, Department of Economics, Honors Theses
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- econ@stanford.edu
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