The uncertainty channel of contagion /

The uncertainty channel of contagion /

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Bibliographic Details
Author / Creator:Kannan, Prakash, author.
Imprint:[Washington, D.C.] : International Monetary Fund, ©2009.
Description:1 online resource (40 pages) : color illustrations
Language:English
Series:IMF working paper, 2227-8885 ; WP/09/219
IMF working paper ; WP/09/219.
Subject:
Financial crises -- Econometric models.
Contagion (Social psychology) -- Economic aspects.
Financial crises -- Econometric models.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12498494
Hidden Bibliographic Details
Other authors / contributors:Köhler-Geib, Fritzi, author.
International Monetary Fund. Research Department.
ISBN:9781452796475
1452796475
1451917864
9781451917864
1462361811
9781462361816
9786612844232
661284423X
1282844237
9781282844230
9781451873665
1451873662
Digital file characteristics:text file
Notes:Includes bibliographical references (pages 39-40).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2011.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2011 HathiTrust Digital Library committed to preserve
Print version record.
Summary:The 2007 subprime crisis in the U.S. triggered a succession of financial crises around the globe, reigniting interest in the contagion phenomenon. Not all crises, however, are contagious. This paper models a new channel of contagion where the degree of anticipation of crises, through its impact on investor uncertainty, determines the occurrence of contagion. Incidences of surprise crises lead investors to doubt the accuracy of their information gathering technology, which endogenously increases the probability of crises elsewhere. Anticipated crisis, instead, have the opposite effect. Importantly, this channel is empirically shown to have an independent effect beyond other contagion channels.
Other form:Print version: Kannan, Prakash. Uncertainty channel of contagion. [Washington, D.C.] : International Monetary Fund, ©2009
Standard no.:10.5089/9781451917864.001
Table of Contents:
  • Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Uncertainty Around the Period of the Thai Crisis; 2. Uncertainty Around the Period of the Argentine Crisis; II. Related Literature; III. Model; A. Environment; B. Information Structure; C. Timing; D. Investor's Problem; E. Firm's Problem; F. Endogenizing the Share of Informed Investors; G. Summary of Model and Testable Hypotheses; IV. Empirical Analysis; A. Methodology; B. Data; C. Results; 1. Step 1-Effect of Crisis in "Country A" on Uncertainty in "Country B."
  • 2. Step 2-Effect of Uncertainty on Probability of Crisis, all Initial Crisis Countries3. Step 2-Effect of uncertainty on probability of crisis, without any interaction; 4. Marginal Effect of Uncertainty on the Probablity of a Crisis; V. Conclusion; VI. Appendix; 5. Sample of Countries; 6. List of Variables; 7. Step 2-Effect of Uncertainty on the Probablity of a Crisis, Restricting Attention to the Mexican, Russian and Thai Crises; 8. Step 2-Effect of Uncertainty on the Probablity of a Crisis, Additional Control for Common Overexposed Fund Investors; References; Footnotes.

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