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Financial Contagion. The Viral Threat to the Wealth of Nations. Robert W. Kolb Series

  • ID: 2293120
  • March 2011
  • 410 Pages
  • John Wiley and Sons Ltd
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The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals. As part of the Robert W. Kolb Series in Finance,
Financial Contagion takes a comprehensive look at the key themes surrounding financial contagion as well as following these themes into various markets and countries and addresses how understanding them are of vital importance for the world's economic future.

Based on formal research conducted over the last few years, Financial Contagion contains groundbreaking thinking on a wide array of issues from the history of financial contagion to the costs and consequences of systemic risk. Divided into six comprehensive sections, this volume will help you gain a deeper understanding of financial contagion through discussions of:

Contagion in the financial crisis of 2007–2009

The avenues by which financial difficulty is transmitted

Contagion in Asian economies, including examples from the Asian financial crisis of 1997

The theory behind contagion and the identification of potential episodes

Contagion within regions as well as single economies

The speed with which financial/economic distress is transmitted

Recent years have brought about too many examples of contagion and systemic risk. That is why Financial Contagion is such an important book. In it, the serious concerns that revolve around these events are skillfully investigated, researched, and explained.

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Introduction.

Acknowledgments.

PART ONE Contagion: Theory and Identification.

1 What Is Financial Contagion? (Robert W. Kolb).

2 Correlation Analysis of Financial Contagion (Giancarlo Corsetti, Marcello Pericoli, and Massimo Sbracia).

3 Uncertainty and Contagion (Prakash Kannan and Fritzi Koehler–Geib).

4 Contagion Dating through Market Interdependence Analysis and Correlation Stability (Monica Billio and Massimiliano Caporin).

5 Contagion or Interdependence: Does the Speed of the Transmission of Shocks Matter? (Stefanie Kleimeier, Thorsten Lehnert, and Willem F. C. Verschoor).

6 Modeling International Financial Markets Contagion: Using Copula and Risk Appetite (Sichong Chen and Ser–Huang Poon).

7 The Origins and Resolution of Financial Crises: A Policy Dilemma (Lars Oxelheim, Clas Wihlborg, and Finn Østrup).

8 Runs on Chartered and Shadow Banks: The Mechanics and Implications (Robert R. Bliss and George G. Kaufman).

9 Debt and Currency Crises (Christian Bauer, Bernhard Herz, and Volker Karb).

10 A Fixed–Time Effects Model of Contagion (Dirk G. Baur and Renée A. Fry).

11 Contagion or Interdependence in the Financial Markets of Asia, Latin America, and the United States: From Tequila Effect to the Subprime Crisis (Emerson Fernandes Marcal, Pedro L. Valls Pereira, Diogenes Manoel Leiva Martin, Wilson Toshiro Nakamura, and Wagner Oliveira Monteiro).

PART TWO Contagion and the Asian Financial Crisis.

12 Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Markets (Thomas C. Chiang, Bang Nam Jeon, and Huimin Li).

13 Contagion Effects, Informational Effects, and Economic Fundamentals: An Analysis of Exchange Rate Dynamics during the Asian Currency Crisis (Kam–hon Chu).

14 Contagion and the Transmission of Financial Crises (Mardi Dungey, Renee A. Fry, Brenda Gonz´alez–Hermosillo, Vance L. Martin, and Chrismin Tang).

15 The Russian Financial Crisis, U.S. Financial Stock Returns, and the InternationalMonetary Fund (M. Humayun Kabir and M. Kabir Hassan).

PART THREE Contagion and Emerging Markets.

16 Measuring Bulls and Bears Synchronization in East Asian Stock Markets (Bertrand Candelon, Stefan Straetmans, and Jan Piplack).

17 Linkages between Debt Markets in the United States and Emerging Economies (Guillermo Felices, Christian Grisse, and Jing Yang).

18 Financial Spillovers and Contagion from Mature to Emerging Stock Markets (John Beirne, Guglielmo Maria Caporale, Marianne Schulze–Ghattas, and Nicola Spagnolo).

19 Is There Any Contagion in Emerging Debt Markets? (Iuliana Ismailescu and Hossein B. Kazemi).

20 Measuring Contagion in Emerging Market Bonds (Irina Bunda, A. Javier Hamann, and Subir Lall).

21 Risk Appetite and Emerging Market Spreads (Mart´in Gonz´alez–Rozada and Eduardo Levy Yeyati).

22 Emerging Countries' Sovereign Risk: Balance Sheet Effects, Global Risk Aversion, and Contagion (Alicia Garcia–Herrero).

23 Responses of Emerging Countries to the Global Financial Crisis (Tatiana Didier, Constantino Hevia, and Sergio L. Schmukler).

PART FOUR Contagion in the Financial Crisis of 2007 2009.

24 Contagion and the Real Economy during the Global Financial Crisis (Dirk G. Baur).

25 The Financial Crisis of 2008 and Subprime Securities (Gerald P. Dwyer and Paula A. Tkac).

26 The Transmission of Liquidity Shocks during the Financial Crisis of 2007 2009 (Nathaniel Frank, Brenda Gonzalez–Hermosillo, and Heiko Hesse).

27 Credit Contagion from Counterparty Risk (Philippe Jorion and Gaiyan Zhang).

28 Contagion and Spillover Effects of the U.S. Subprime Crisis: Evidence from International Stock Markets (Inchang Hwang, Francis In, and Tong Suk Kim).

29 Market or Bank Contagion: Evidence from the Market Crisis of 2007 2009 (William F. Johnson).

30 China, India, and the Global Financial Crisis of 2007 2009 (Shalendra D. Sharma).

31 Financial Contagion from the U.S. to Asian Markets in Global Financial Turmoil (Matthew S. Yiu, Wai–Yip Alex Ho, and Daniel F. S. Choi).

32 Signals of Global Financial Problems (John L. Simpson).

PART FIVE Regional Contagion.

33 Efficiency, Cointegration, and Contagion in East Asian Stock Markets: Implications for Investors and Policy Makers (A. S. M. Sohel Azad and Saad Azmat).

34 Regional Financial Interlinkages and Financial Contagion within Europe (Zsofia Arvai, Karl Driessen, and Inci Otker–Robe).

35 Domino Effects from Cross–Border Exposures (Hans Degryse, Muhammad Ather Elahi, and Maria Fabiana Penas).

36 Interbank Markets as a Source of Contagion (Rajkamal Iyer and Jose–Luis Peydro).

PART SIX Contagion within an Economy.

37 Cross–Border Lending Contagion in Multinational Banks (Alexis Derviz and Jiri Podpiera).

38 The Transmission of Speculative Bubbles between Sectors of the S&P 500 during the Tech Bubble (Keith Anderson, Chris Brooks, and Apostolos Katsaris).

39 Overlapping Boards of Directors: Causes and Consequences for Corporate Governance (Christa H. S. Bouwman).

40 The Credit Default Swap Market in Turmoil: The Case of the GM and Ford Crisis of 2005 (Virginie Coudert and Mathieu Gex).

41 Equity Market Contagion and Comovement: Industry Level Evidence (Kate Phylaktis and Lichuan Xia).

42 Price Contagion of Foreclosed Properties (Eric Rosenblatt and Vincent Yao).

43 Liquidity and Hedge Fund Contagion (Nicole M. Boyson and Christof W. Stahel).

44 No One Is Safe: Bankruptcy Spreads throughout an Economy (Harlan D. Platt, Marjorie A. Platt, and Sebahattin Demirkan).

45 The Contagion Effects of Accounting Restatements: A Summary (Nicole Thorne Jenkins).

46 Are Banks' Earnings Surprises Contagious? (Marcel Prokopczuk, CFA).

Index.

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ROBERT W. KOLB is the Frank W. Considine Chair of Applied Ethics and Professor of Finance at Loyola University Chicago. Before this, he was the assistant dean, Business and Society, and director, Center for Business and Society, at the University of Colorado at Boulder, and a department chairman at the University of Miami. Kolb has authored over twenty books on finance, derivatives, and futures, as well as numerous articles in leading finance journals.

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