 | Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession Author/Editor: Nan Li, Vance Martin. Release Date:May, 2018 This paper studies changes in the transmission of common versus sectoral idiosyncratic shocks across different U.S. nonfarm business sectors during the Great Recession, and evaluates the more...
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| Are Financial Crises Alike? Author/Editor: Chrismin Tang, Mardi Dungey, Vance Martin, Brenda González-Hermosillo, Renee Fry. Release Date:January, 2010 This paper investigates whether financial crises are alike by considering whether a single modeling framework can fit multiple distinct crises in which contagion effects link markets across national more...
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| Empirical Modeling of Contagion : A Review of Methodologies Author/Editor: Mardi Dungey, Renee Fry, Vance Martin, Brenda Gonzalez-Hermosillo. Release Date:May, 2004 The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related more...
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| Unanticipated Shocks and Systemic Influences : The Impact of Contagion in Global Equity Markets in 1998 Author/Editor: Brenda Gonzalez-Hermosillo, Vance Martin, Renee Fry, Mardi Dungey. Release Date:April, 2003 August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crises more...
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| International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse Author/Editor: Renee Fry, Vance Martin, Brenda Gonzalez-Hermosillo, Mardi Dungey. Release Date:April, 2002 We examine empirically the episode of extraordinary turbulence in global financial markets during 1998. The analysis focuses on the market assessment of credit risk captured by daily movements in more...
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