Asset prices and output growth volatility: the effects of financial crises

Asset prices and output growth volatility: the effects of financial crises

In this paper we investigate the real effects of financial crises. Empirical evidence on the consequences of the 1997 East Asian crisis for the casual relationship between stock prices and output growth volatility is provided. The effects of the crisis on cross-market volatility spillovers have been...

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Veröffentlicht in:Economics letters 2003-04, Vol.79 (1), p.69-74
Hauptverfasser: Caporale, Guglielmo Maria, Spagnolo, Nicola
Format: Artikel
Sprache:eng
Schlagworte:
Asset valuation
Economics
Empirical research
Financial crises
Financial crisis
Multivariate analysis
Multivariate GARCH
Output growth
Spillovers
Stock prices
Volatility
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Zusammenfassung:In this paper we investigate the real effects of financial crises. Empirical evidence on the consequences of the 1997 East Asian crisis for the casual relationship between stock prices and output growth volatility is provided. The effects of the crisis on cross-market volatility spillovers have been taken into account by including a dummy variable in the conditional variance specification.
ISSN:0165-1765
1873-7374
DOI:10.1016/S0165-1765(02)00289-6