1Department of Quantitative Methods, Faculty of economic sciences and Management of Mahdia
2Department of Quantitative Methods, Higher Institute of Society Administration
International Journal of Econometrics and Financial Management.
2016,
Vol. 4 No. 2, 29-38
DOI: 10.12691/ijefm-4-2-1
Copyright © 2016 Science and Education PublishingCite this paper: Tarek Sadraoui, Bechir Deghachi, Rahma Ben Aissa. A New Cointegration Econometric Analysis for Contagious and Volatility Spillovers of Subprime Crisis Effects.
International Journal of Econometrics and Financial Management. 2016; 4(2):29-38. doi: 10.12691/ijefm-4-2-1.
Correspondence to: Tarek Sadraoui, Department of Quantitative Methods, Faculty of economic sciences and Management of Mahdia. Email:
tarek_sadraoui@yahoo.fr, Tarek.Sadraoui@fsegs.rnu.tnAbstract
We examine spillover effects of the recent U.S. financial crisis on five emerging Asian countries by estimating conditional correlations of financial asset returns across countries using multivariate GARCH models. We propose a novel approach that simultaneously estimates the conditional correlation coefficient and the effects of its determining factors over time, which can be used to identify the channels of spillovers. We find a dominant role of foreign investment for the conditional correlations in international equity markets. The dollar Libor OIS spread, the sovereign CDS premium, and foreign investment are found to be significant factors affecting foreign exchange markets.
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