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Financial Contagion and Herding: The
Theory
This section presents papers that explain
contagion due to financial links or due to herding behavior
in international financial markets. Regarding herding, we
omit a vast literature on herding behavior in the domestic
financial markets. We only post papers that relate herding
with cross-country spillover effects.
| Asset Bubbles, Domino Effects and Lifeboats: Elements of the East Asian Crisis |
| Hali J. Edison |
| Pongsak Luangaram |
| Marcus Miller |
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| International Finance Discussion Papers |
| The Federal Reserve Board |
| 1998-03-01 |
| Click
here to access - 86 KB PDF |
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| Capital Flows to Emerging Markets: Liberalization, Overshooting, and Volatility |
| Philippe Bacchetta |
| Eric van Wincoop |
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| NBER Working Paper No. W6530 |
| National Bureau of Economic Research |
| 1998-04-01 |
| Click
here to access - 1,367 KB PDF |
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| Channels for Financial Contagion, The |
| Matthew Pritsker - Economist, The Federal Reserve Board |
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| 2000-08-11 |
| Click
here to access - 207 KB PDF |
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| Contagion and Volatility with Imperfect Credit Markets |
| Pierre-Richard Agenor |
| Joshua Aizenman |
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| NBER Working Paper No. W6080 |
| National Bureau of Economic Research |
| 1997-07-01 |
| Click
here to access - 1,031 KB PDF |
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| Contagion as a Wealth Effect |
| Albert S. Kyle, Fuqua School of Business, Duke University |
| Wei Xiong, Benheim Center for Finance, Princeton University |
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| 2000-06-01 |
| Click
here to access - 715 KB PDF |
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| Contagion in Emerging Markets: When Wall Street is a Carrier |
| Guillermo A. Calvo, University of Maryland |
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| 1999-05-02 |
| Click
here to access - 93 KB PDF |
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| Contagion of Self-Fulfilling Financial Crises Due to Diversification of Investment Portfolios |
| Italy Goldstein |
| Ady Pauzner, Eitan Berglas School of Economics, Tel Aviv University |
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| 2001-06-05 |
| Click
here to access - 671 KB PDF |
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| Contagion, Bank Lending Spreads and Output Fluctuations |
| Pierre-Richard Agenor |
| Joshua Aizenman |
| A. Hoffmaister |
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| NBER Working Paper No. W6850 |
| National Bureau of Economic Research |
| 1998-12-01 |
| Click
here to access - 859 KB PDF |
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| Contagion-Monsoonal Effects, Spillovers, and Jumps Between Multiple Equilibria |
| Paul Masson, International Monetary Fund |
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| 998-03-02 |
| Click
here to access - 1,547 KB PDF |
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| Emerging Market Crises: An Asset Markets Perspective |
| Ricardo J. Caballero |
| Arvind Krishnamurthy |
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| NBER Working Paper No. W6843 |
| National Bureau of Economic Research |
| 1998-12-01 |
| Click
here to access - 2,841 KB PDF |
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| Emerging Markets Contagion: Evidence and Theory |
| Rodrigo Valdes, Banco Central de Chile |
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| 1997-03-01 |
| Click
here to access - website |
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| Financial Contagion |
| Franklin Allen |
| Douglas Gale |
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| Journal of Political Economy (US); 108, No. 1 |
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| 2000-02-01 |
| Click
here to access - Coming Soon |
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| Financial Contagion |
| Frankln Allen, University of Pennsylvania |
| Gale Douglas, New York University |
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| 1998-10-01 |
| Click
here to access - 218 KB PDF |
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| Financial Contagion: ABC Channels |
| Haizhou Huang |
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| IMF Research Bulletin; 1 No. 2 |
| International Monetary Fund (IMF) |
| 2000-09-01 |
| Click
here to access - website |
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| Herd Behavior in Financial Markets: A Review |
| Sushil Bikhchandani |
| Sunil Sharma |
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| IMF Working Paper WP/00/48 |
| International Monetary Fund (IMF) |
| 2000-02-01 |
| Click
here to access - 1,296 KB PDF |
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| Informational Speculative Attacks: Good News is No News |
| Robert Rigobon, MIT |
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| Click
here to access - Coming Soon |
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| International Investors, Contagion and the Russian Crisis |
| Alexei Medvedev |
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| Bofit Discussion Papers No. 6 |
| Bank of Finland. Institute for Economies in Transition |
| 2001-01-01 |
| Click
here to access - 698 KB PDF |
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| Managerial Incentives and Financial Contagion |
| Sujit Chakravorti - Federal Reserve Bank of Chicago |
| Subir Lall - International Monetary Fund |
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| 2004-05-28 |
| Click
here to access - 258 KB PDF |
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| Measuring the Contagion in the East Asian Currency Crisis |
| Mardi Dungey |
| Vance L. Martin |
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| International Monetary Fund Seminar Series (Internationa); No. 2001-11 |
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| 2000-10-01 |
| Click
here to access - Coming Soon |
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| Model of Crises in Emerging Markets, A |
| Michael P. Dooley |
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| NBER Working Paper No. W6300 |
| National Bureau of Economic Research |
| 1997-12-01 |
| Click
here to access - 1,191 KB PDF |
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| Multiple Equilibria, Contagion, and the Emerging Market Crises |
| Paul R. Masson |
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| IMF Working Paper WP/99/164 |
| International Monetary Fund (IMF) |
| 1999-12-21 |
| Click
here to access - 2,914 KB PDF |
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| Overreaction of Asset Prices in General Equilibrium |
| S. Rao Aiyagari |
| Mark Gertler |
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| NBER Working Paper No. W6747 |
| National Bureau of Economic Research |
| 1998-10-01 |
| Click
here to access - 1,493 KB PDF |
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| Portfolio Diversification, Leverage, and Financial Contagion |
| Garry Schinasi |
| R. Todd Smith |
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| IMF Staff Papers 47, NO. 2 |
| International Monetary Fund (IMF) |
| 2000-05-01 |
| Click
here to access - Coming Soon |
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| Portfolio Diversification, Leverage, and Financial Contagion |
| Gary Schinasi - Division Chief, International Monetary Fund |
| Todd Smith, Professor, University of Alberta |
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| 1999-09-01 |
| Click
here to access - 152 KB PDF |
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| Primer on Financial Contagion, A |
| Marcello Pericoli |
| Massimo Sbracia, Bank of Italy |
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| Temi Di Discussione; No. 407 |
| Banca D'Italia |
| 2001-06-01 |
| Click
here to access - 361 KB PDF |
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| Pure Contagion and Investor's Shifting Risk Appetite: Analytical Issues and Empirical Evidence |
| Manmohan S. Kumar |
| Avinash Persaud |
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| IMF Working Paper WP/01/134 |
| International Monetary Fund (IMF) |
| 2001-09-01 |
| Click
here to access - 1,282 KB PDF |
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| Rational Contagion and the Globalization of Securities Markets |
| Guillermo A. Calvo, University of Maryland |
| Enrique G. Mendoza |
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| Duke Economics Working Paper #97-26 |
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| 1999-05-17 |
| Click
here to access - 532 KB PDF |
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| Rational Contagion and the Globalization of Securities Markets |
| Guillermo Calvo |
| Enrique G. Mendoza |
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| Journal of Economics; V. 51, No. 1 |
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| 2000-06-01 |
| Click
here to access - Coming Soon |
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| Rational Expectations Model of Financial Contagion, A |
| L. Kodres |
| M. Pritsker, The Federal Reserve Board |
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| Finance and Economics Discussion Series |
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| 2000-08-28 |
| Click
here to access - 477 KB PDF |
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| What Causes Currency Crises: Sunspots, Contagion or Fundamentals? |
| Marcel Fratzscher |
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| EUI Working Papers; No. 99/39 |
| European University Institute, Department of Economics |
| 1999-12-01 |
| Click
here to access - 270 KB PDF |
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| What Happens When You Regulate Risk? Evidence From A Simple Equilibrium Model |
| Jean-Pierre Zigrand |
| Jon Danielsson |
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| London School of Economics |
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| Click
here to access - 318 KB PDF |
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This
page last updated on 02/24/2003 |