关键词: 金融危机传染, FIAPARCH-DCC模型, 隐马尔科夫转换模型, 新兴市场国家

Abstract:

With the deepening of global economic and financial integration,we should place more attention on the contagion effect of global financial crisis. This paper empirically investigates the contagion effects of the global financial crisis in a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 2001-2012. We focus on five most important emerging equity markets, namely Brazil, Russia, India, China and South Africa (BRICS), as well as USA during different phases of the crisis. The length and the phases of the crisis are identified based on both a qualitative and a quantitative approach. The empirical evidence does not confirm a contagion effect for most BRICS during the early stages of the crisis. As the crisis deepens, contagion effect appears but the infection time window is not synchronized. However, linkages reemerged after the Lehman Brothers collapse, suggesting a shift on investors' risk appetite. Moreover, correlations among all BRICS and USA increased from early 2009 onwards, implying that their dependence is larger in bullish than in bearish markets. These findings could be attributed to their common trade and financial characteristics and provide to some extent.

Key words: financial crisis contagion, FIAPARCH-DCC model, hidden markov models, emerging markets