International financial contagion of the US sub-prime crisis: evidence through the adjusted correlation test and non-linear Error Correction Models (ECM)
by Anis Omri, Sonia Ghorbel-Zouari
International Journal of Monetary Economics and Finance (IJMEF), Vol. 4, No. 2, 2011

Abstract: In this essay, we test the presence of the contagion phenomenon during the US sub-prime crisis. We adopt the test of adjusted correlation coefficients between markets and propose a new procedure which involves testing the non-linearity of the propagation mechanisms shocks, estimated with a model of long-term interdependence. We apply this methodology to the financial markets which measure the risk perception. Our results conclude ''some contagion, some interdependence'' between the financial markets of USA, France, Germany, Japan and UK during the current crisis.

Online publication date: Thu, 31-Mar-2011

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Monetary Economics and Finance (IJMEF):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?


Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com