This paper presents a theoretical framework to highlight possible channels for the
international transmission of financial shocks. We first review the different definitions and …

This paper reviews the empirical literature on international spillovers and contagion.
Theoretical models of spillover and contagion imply that the reduced-form observable …

This study examines the dynamic asymmetric return spillovers between gold and oil
commodity futures and 22 European equity sectors using the Diebold and Yilmaz (2012) …

Many emerging market countries have suffered financial crises. One view blames soft pegs
for these crises. Adherents of this view suggest that countries move to corner solutions …

We find that in a sample of emerging economies business cycles are more volatile than in
developed ones, real interest rates are countercyclical and lead the cycle, consumption is …

This paper develops a method for solving the identification problem that arises in
simultaneous-equation models. It is based on the heteroskedasticity of the structural shocks …

We develop a multiple asset rational expectations model of asset prices to explain financial
market contagion. Although the model allows contagion through several channels, our focus …

This paper develops a broad concept of systemic risk, the basic economic concept for the
understanding of financial crises. It is claimed that any such concept must integrate systemic …

Financial contagion is described as a wealth effect in a continuous‐time model with two risky
assets and three types of traders. Noise traders trade randomly in one market. Long‐term …

Emerging markets have long posed a challenge for finance. Standard models are often ill
suited to deal with the specific circumstances arising in these markets. However, the interest …