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Financial Contagion: The Viral Threat to the Wealth of Nations



Financial Contagion: The Viral Threat to the Wealth of Nations

Robert W. Kolb (Editor)

ISBN: 978-1-118-01652-7 February 2011 464 Pages


"Financial Contagion: The Viral Threat to the Wealth of Nations covers a lot of territory. It is, of course, terribly important to analyze case histories to discover potential triggers, mechanisms of transmission, and viable ways to contain the damage of financial contagion. The problem is, as these articles amply demonstrate, that there’s always a new virus or a mutation of a former one lurking in some corner of the financial world. We don’t know what it is or where it is. And, even if we had some inkling, there’s almost never enough time to develop a financial flu shot."

The latest insights on financial contagion and how both nations and investors can effectively deal with it.

The domino-style structure in which the financial system exists is a perilous one. Although historically, the financial system has been able to deal with major shocks, the fact remains that our financial system is not as secure as it should be.

Recent years have brought about too many examples of contagion and systemic risk. That is why Financial Contagion is such an important read. In it, the serious concerns that revolve around our fragile economic system are investigated, researched, and explained.

Throughout the book, Kolb offers valuable insights on this dilemma as he compiles the history of financial contagion, highlights the latest research on systemic failure and interrelated markets, and analyzes the risks and consequences we face moving forward.

  • Examines the importance of careful regulation and what must be done to stabilize the global financial system
  • Includes contributed chapters from both academics and experienced professionals, offering a variety of perspectives and a rich interplay of ideas
  • Details how close we are to witnessing a financial contagion that could devastate the world economy

We have been harshly reminded of how fragile our economic ecosystem is. With Financial Contagion, you'll hold a better understanding of what needs to be done to strengthen our system and safeguard our financial future.



PART ONE Contagion: Theory and Identification.

1 What Is Financial Contagion? (Robert W. Kolb).

2 Correlation Analysis of Financial Contagion (Giancarlo Corsetti, Marcello Pericoli, and Massimo Sbracia).

3 Uncertainty and Contagion (Prakash Kannan and Fritzi Koehler-Geib).

4 Contagion Dating through Market Interdependence Analysis and Correlation Stability (Monica Billio and Massimiliano Caporin).

5 Contagion or Interdependence: Does the Speed of the Transmission of Shocks Matter? (Stefanie Kleimeier, Thorsten Lehnert, and Willem F. C. Verschoor).

6 Modeling International Financial Markets Contagion: Using Copula and Risk Appetite (Sichong Chen and Ser-Huang Poon).

7 The Origins and Resolution of Financial Crises: A Policy Dilemma (Lars Oxelheim, Clas Wihlborg, and Finn Østrup).

8 Runs on Chartered and Shadow Banks: The Mechanics and Implications (Robert R. Bliss and George G. Kaufman).

9 Debt and Currency Crises (Christian Bauer, Bernhard Herz, and Volker Karb).

10 A Fixed-Time Effects Model of Contagion (Dirk G. Baur and Renée A. Fry).

11 Contagion or Interdependence in the Financial Markets of Asia, Latin America, and the United States: From Tequila Effect to the Subprime Crisis (Emerson Fernandes Marcal, Pedro L. Valls Pereira, Diogenes Manoel Leiva Martin, Wilson Toshiro Nakamura, and Wagner Oliveira Monteiro).

PART TWO Contagion and the Asian Financial Crisis.

12 Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Markets (Thomas C. Chiang, Bang Nam Jeon, and Huimin Li).

13 Contagion Effects, Informational Effects, and Economic Fundamentals: An Analysis of Exchange Rate Dynamics during the Asian Currency Crisis (Kam-hon Chu).

14 Contagion and the Transmission of Financial Crises (Mardi Dungey, Renee A. Fry, Brenda Gonz´alez-Hermosillo, Vance L. Martin, and Chrismin Tang).

15 The Russian Financial Crisis, U.S. Financial Stock Returns, and the InternationalMonetary Fund (M. Humayun Kabir and M. Kabir Hassan).

PART THREE Contagion and Emerging Markets.

16 Measuring Bulls and Bears Synchronization in East Asian Stock Markets (Bertrand Candelon, Stefan Straetmans, and Jan Piplack).

17 Linkages between Debt Markets in the United States and Emerging Economies (Guillermo Felices, Christian Grisse, and Jing Yang).

18 Financial Spillovers and Contagion from Mature to Emerging Stock Markets (John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas, and Nicola Spagnolo).

19 Is There Any Contagion in Emerging Debt Markets? (Iuliana Ismailescu and Hossein B. Kazemi).

20 Measuring Contagion in Emerging Market Bonds (Irina Bunda, A. Javier Hamann, and Subir Lall).

21 Risk Appetite and Emerging Market Spreads (Mart´in Gonz´alez-Rozada and Eduardo Levy Yeyati).

22 Emerging Countries' Sovereign Risk: Balance Sheet Effects, Global Risk Aversion, and Contagion (Alicia Garcia-Herrero).

23 Responses of Emerging Countries to the Global Financial Crisis (Tatiana Didier, Constantino Hevia, and Sergio L. Schmukler).

PART FOUR Contagion in the Financial Crisis of 2007–2009.

24 Contagion and the Real Economy during the Global Financial Crisis (Dirk G. Baur).

25 The Financial Crisis of 2008 and Subprime Securities (Gerald P. Dwyer and Paula A. Tkac).

26 The Transmission of Liquidity Shocks during the Financial Crisis of 2007–2009 (Nathaniel Frank, Brenda Gonzalez-Hermosillo, and Heiko Hesse).

27 Credit Contagion from Counterparty Risk (Philippe Jorion and Gaiyan Zhang).

28 Contagion and Spillover Effects of the U.S. Subprime Crisis: Evidence from International Stock Markets (Inchang Hwang, Francis In, and Tong Suk Kim).

29 Market or Bank Contagion: Evidence from the Market Crisis of 2007–2009 (William F. Johnson).

30 China, India, and the Global Financial Crisis of 2007–2009 (Shalendra D. Sharma).

31 Financial Contagion from the U.S. to Asian Markets in Global Financial Turmoil (Matthew S. Yiu, Wai-Yip Alex Ho, and Daniel F. S. Choi).

32 Signals of Global Financial Problems (John L. Simpson).

PART FIVE Regional Contagion.

33 Efficiency, Cointegration, and Contagion in East Asian Stock Markets: Implications for Investors and Policy Makers (A. S. M. Sohel Azad and Saad Azmat).

34 Regional Financial Interlinkages and Financial Contagion within Europe (Zsofia Arvai, Karl Driessen, and Inci Otker-Robe).

35 Domino Effects from Cross-Border Exposures (Hans Degryse, Muhammad Ather Elahi, and Maria Fabiana Penas).

36 Interbank Markets as a Source of Contagion (Rajkamal Iyer and Jose-Luis Peydro).

PART SIX Contagion within an Economy.

37 Cross-Border Lending Contagion in Multinational Banks (Alexis Derviz and Jiri Podpiera).

38 The Transmission of Speculative Bubbles between Sectors of the S&P 500 during the Tech Bubble (Keith Anderson, Chris Brooks, and Apostolos Katsaris).

39 Overlapping Boards of Directors: Causes and Consequences for Corporate Governance (Christa H. S. Bouwman).

40 The Credit Default Swap Market in Turmoil: The Case of the GM and Ford Crisis of 2005 (Virginie Coudert and Mathieu Gex).

41 Equity Market Contagion and Comovement: Industry Level Evidence (Kate Phylaktis and Lichuan Xia).

42 Price Contagion of Foreclosed Properties (Eric Rosenblatt and Vincent Yao).

43 Liquidity and Hedge Fund Contagion (Nicole M. Boyson and Christof W. Stahel).

44 No One Is Safe: Bankruptcy Spreads throughout an Economy (Harlan D. Platt, Marjorie A. Platt, and Sebahattin Demirkan).

45 The Contagion Effects of Accounting Restatements: A Summary (Nicole Thorne Jenkins).

46 Are Banks' Earnings Surprises Contagious? (Marcel Prokopczuk, CFA).