International financial contagion: what do we know?
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Authors
Dungey, Mardi
Tambakis, Demosthenes N
Publication Date
2003-07Series
CFAP Working Paper
09
Publisher
CFAP, Cambridge Judge Business School, University of Cambridge
Language
English
Type
Working Paper
Metadata
Show full item recordCitation
Dungey, M., & Tambakis, D. N. (2003). International financial contagion: what do we know?. http://www.dspace.cam.ac.uk/handle/1810/225207
Abstract
This paper attempts a synthesis of theoretical and empirical work on international financial contagion. Although a professional consensus on the appropriate definitions of contagion has yet to emerge, we document substantial research progress towards this goal. On the empirical front, determining when returns are ‘excessive’ is a pre-condition for designing effective policy response to crises. At the theoretical level, tracing the observed herding behavior to market participants’ uncertain beliefs and information asymmetries is a key element for understanding how contagious effects arise. It is argued that the recent focus on better understanding of high-frequency financial returns data and decision making at the market microstructure level are promising avenues for understanding the transmission of shocks across markets and countries.
Keywords
international financial contagion, crises, fundamentals, policy response, IMF
Identifiers
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/225207