The Uncertainty Channel of Contagion
IMF Working Papers, October 1, 2009
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- Canonical URL
- The Uncertainty Channel of Contagion
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Bibliographic details
- Authors: Prakash Kannan, Fritzi Köhler-Geib
- Published: October 1, 2009
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451873665.001
Overview and Research Question
- Title: The Uncertainty Channel of Contagion
- Authors: Prakash Kannan, Fritzi Köhler-Geib
- Date: October 1, 2009
- Core question: How does the degree of anticipation of crises, via its impact on investor uncertainty, determine the occurrence of contagion?
Theoretical framework and mechanism
- Models a new channel of contagion where investor uncertainty is endogenous to the degree of anticipation of crises.
- Mechanism described:
- Surprise crises increase investor doubt about the accuracy of their information-gathering technology.
- Increased doubt endogenously raises the probability of crises elsewhere.
- Anticipated crises have the opposite effect (reduce investor uncertainty and lower contagion probability).
Empirical findings
- The uncertainty channel is empirically shown to have an independent effect beyond other contagion channels.
- The 2007 subprime crisis in the U.S. is used as motivating context: it triggered a succession of financial crises globally but not all crises are contagious.
Key statistics and publication metadata
- Pages: 40
- Volume: 2009
- Issue: 219
- Series: Working Paper No. 2009/219
- DOI: https://doi.org/10.5089/9781451873665.001
- Stock No: WPIEA2009219
- ISBN: 9781451873665
- ISSN: 1018-5941
- Citation preview provided: Prakash Kannan, and Fritzi Köhler-Geib. "The Uncertainty Channel of Contagion", IMF Working Papers 2009, 219 (2009), accessed 9/18/2026, https://doi.org/10.5089/9781451873665.001
Subjects and keywords (as listed)
- Subject: Asset prices, Emerging and frontier financial markets, Financial crises, Financial markets, Prices, Stock markets, Technology
- Keywords: anticipated crisis, Asset prices, crisis month, Emerging and frontier financial markets, emerging market, financial crisis, fund investor, Global, initial-crises country, interest rate, investor uncertainty, investors decision, lag of crisis, maximization problem, probability of a crisis, rate of return, risk aversion, stock market crisis, Stock markets, surprise crisis, WP
IMF Working Papers — The Uncertainty Channel of Contagion (Working Paper No. 2009/219, October 1, 2009).