Crisis and financial contagion: new evidences and new methodological approach
- Autores: Oscar Villar Frexedas
- Directores de la Tesis: Josep Lluís Carrión i Silvestre (dir. tes.)
- Lectura: En la Universitat de Barcelona ( España ) en 2015
- Idioma: inglés
- Tribunal Calificador de la Tesis: Jesús Mur Lacambra (presid.), Antonio Rubia Serrano (secret.), Tomás del Barrio Castro (voc.)
- Programa de doctorado: Programa de Doctorado en Economía por la Universidad de Barcelona
- Materias:
- Enlaces
- Tesis en acceso abierto en: Dipòsit Digital de la UB
- Resumen
Thesis consists of three empirical studies focusing on financial crisis, which base on different definitions of financial contagion definitions and use of methodological approaches. The first chapter defines contagion focusing on the channels of transmission of the crisis and uses the implementation of spatial econometrics as a mechanism for assessing contagion. Unlike the other methodologies used, spatial econometrics allows for an expression of the transmission mechanisms of crisis under explicit dynamic-spatial assumptions. The second and third chapters consider the definition of “shift-contagion”, a definition that is extremely useful to measure and test contagion. The second chapter follows a strategy based on the specification of an approximate factor model and assesses the presence of “shift-contagion” considering the presence of structural breaks in the variance of the common factors. The third chapter analyses the presence of “shift-contagion” using a new cointegration procedure that is robust to the main econometric problems of the financial time series, i.e., the lack of accounting for heteroscedastic variance.
