Dynamic Count Models of Financial Contagion with Applications to Global Banking and Currency Crises

Grant number: DP140102137 | Funding period: 2014 - 2017

Completed

Abstract

An international model of contagion and interconnectedness is developed and applied using annual time series on banking and currency crises in developed and emerging countries. The model represents a new class of multivariate dynamic count models that allows for important dynamical interactions to capture the transmission of financial crises across national and international asset markets. The properties of the models are investigated as well as the development of new estimation methods based on simulation techniques. An important implication of the approach is that it can be used as an early warning signal of future crises, thereby providing an input into the design of future policy on cris..

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