Working Papers in full text
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
All
Other research-related activities and publications of the IMF can be found at IMF Research
|
Free Email Notification
Receive emails when we post new
items of interest to you.
Subscribe or
Modify your profile
|
|
|
|
Fatal Attraction: A New Measure of Contagion
|
Author/Editor: |
Bayoumi, Tamim | Fazio, Giorgio | Kumar, Manmohan S. | MacDonald, Ronald |
| Authorized for Distribution: |
April 1, 2003 |
|
Electronic Access: |
Free Full Text (PDF file size is 678KB)
Use the free Adobe Acrobat Reader to view this PDF file.
|
|
|
|
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.
|
|
Summary: This paper proposes a new measure of contagion that is good at anticipating future vulnerabilities. Building on previous work, it uses correlations of equity markets across countries to measure contagion, but in a departure from previous practice it measures contagion using the relationship of these correlations with distance. Also in contrast to previous work, our test is good at identifying periods of "positive contagion," in which capital flows to emerging markets in a herd-like manner, largely unrelated to fundamentals. Identifying such periods of "fatal attraction" is important as they provide the essential ingredients for subsequent crises and rapid outflows of capital.
|
|
|
|
Series: |
Working Paper No. 03/80 |
|
Subject(s): |
International capital markets | Capital flows | Emerging markets | Stock markets |
|
Author's keyword(s): |
Contagion
| capital flows
| emerging market crises
|
|
|
|
|
| |
Published: |
|
April 1, 2003 |
|
|
|
|
| |
ISBN/ISSN: |
|
1934-7073 |
|
Format: |
|
Paper |
| |
Stock No: |
|
WPIEA0802003 |
|
Pages: |
|
20 |
| |
Price: |
|
US$15.00
|
|
|
|
|
|
|
