Series: IMF Working Papers
Author(s): Tamim Bayoumi , Manmohan Kumar , Giorgio Fazio , and Ronald MacDonald
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 April 2003
Keywords: Contagion, international capital flows, emerging market crises, correlations, correlation, currency crises, asian crisis, International Lending and Debt Problems,
This paper proposes a new measure of contagion that is good at anticipating future vulnerabilities. Building on previous work, it uses correlations of equity markets across countries to measure contagion, but in a...