Unravelling financial market linkages during crises
构建了一个多资产类别的潜在因子模型，专门刻画金融危机期间金融市场间的溢出和传染效应，并应用于1997-98年东亚金融危机中的货币与股票市场，发现跨市场联系显著，溢出效应对波动的影响大于传染效应。
Abstract An empirical model of multiple asset classes across countries is formulated in a latent factor framework. A special feature of the model is that financial market linkages during periods of financial crises, including spillover and contagion effects, are formally specified. The model also captures a range of common factors including global shocks, country and market shocks, and idiosyncratic shocks. The framework is applied to modelling linkages between currency and equity markets during the East Asian financial crisis of 1997–98. The results provide strong evidence that cross‐market links are important. Spillovers have a relatively larger effect on volatility than contagion, but both are statistically significant. Copyright © 2007 John Wiley & Sons, Ltd.