The contagion effect: a case study of China and ASEAN countries  

Oleh:

Chantathaweewat, N

Jenis: Article from Proceeding
Dalam koleksi: SIBR-Thammasat 2014 Conference on Interdisciplinary Business & Economics Research June 5th- 7th, 2014 di Emerald Hotel Bangkok, page 1-9.
Topik: Contagion effect; financial contagion; trade contagion; VAR
Fulltext: b14-003.pdf (170.51KB)

Isi artikel

This study aims to fill a gap in the current literature by studying dynamic and interdependent relationship among real economic sectors and financial markets with the country and across countries, and determining which channels of contagion are the most significant in transmitting crises among countries. The question of this research is to investigate whether the recent crisis have the fundamental effects, the contagion effects or through China market in the case of 2nd This study attempts to answer the questions by multivariate methods using Vector Autoregressive (VAR), then, solve for the contagion effect. I implement the technique to study the propagation of shock across U.S. Euro China ASEAN stock markets and trade markets by identify the episodes of market turbulence analyzing the residual obtained from a reduced form VAR. The result reveals the existence of the financial contagion effect between US and ASEAN countries. The trade contagion effects among China and ASEAN countries can not conclusive. Impulse response analyses of both VARs models indicate that US economy has the most significant and influencing impact on China economy and ASEAN economy.

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