Search results for " Contagion"
showing 10 items of 43 documents
Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
2005
In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon, we test for contagion as a significant positive shift in the correlation between asset returns, taking into account heteroscedasticity and endogeneity bias. Furthermore, we improve on earlier empirical studies by carrying out a full sample test of the stability of the system that relies on more plausible (over) identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan…
What makes music emotionally significant? Exploring the underlying mechanisms
2013
A common approach to study emotional reactions to music is to attempt to obtain direct links between musical surface features such as tempo and a listener’s response. However, such an analysis ultimately fails to explain why emotions are aroused in the listener. In this article, we propose an alternative approach, which seeks to explain musical emotions in terms of a set of underlying mechanisms that are activated by different types of information in musical events. We illustrate this approach by reporting a listening experiment, which manipulated a piece of music to activate four mechanisms: brain stem reflex; emotional contagion; episodic memory; and musical expectancy. The musical excer…
Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis
2009
In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997-1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk
2012
A small segment of credit default swaps (CDS) on residential mortgage backed securities (RMBS) stand implicated in the 2007 financial crisis. The dominance of a few big players in the chains of insurance and reinsurance for CDS credit risk mitigation for banks' assets has led to the idea of too interconnected to fail (TITF) resulting, as in the case of AIG, of a tax payer bailout. We provide an empirical reconstruction of the US CDS network based on the FDIC Call Reports for off balance sheet bank data for the 4th quarter in 2007 and 2008. The propagation of financial contagion in networks with dense clustering which reflects high concentration or localization of exposures between few parti…
Bitcoin and stock market indices: analysis of volatility’s clusters during the bitcoin bubble based on the dynamic conditional correlation model
2019
The market of virtual currencies, called cryptocurrency, has grown immensely since 2008 in terms of market capitalisation and the numbers of new currencies. Bitcoin is one of the most famous cryptocurrency with an estimated market capitalisation of nearly $ 69 billion. The fact that Bitcoin prices have fallen about 70% from their peak value and most indices were down double-digit year to date (2018) with a high daily volatility create the appearance that there has to be a correlation. The purpose of this paper is to investigate the contagion effect between Bitcoin prices and the leading American, European and Asian equity markets using the dynamic conditional correlation (DCC) model propose…
A Dynamic Factor Analysis of Financial Contagion in Asia
2003
In this paper we compared the performance of country speci…c and regional indicators of reserve adequacy in predicting, out of sample,
Testing for Contagion: a Time-Scale Decomposition
2010
The aim of the paper is to test for financial contagion by estimating a simultaneous equation model subject to structural breaks. For this purpose, we use the Maximum Overlapping Discrete Wavelet Transform, MODWT, to decompose four asset returns into different scale components (each associated with a given frequency range). The decomposition will enable us to obtain the moment conditions necessary to (over)identify a structural form model with a single dummy and the one with multiple dummies capturing shifts in the co-movement of asset returns occurring during periods of financial turmoil. A Montecarlo simulation exercise shows that test based on a single dummy structural form model has goo…
Occupational well-being as a mediator between job insecurity and turnover intention: Findings at the individual and work department levels
2013
This study examined the relationship between job insecurity and turnover intention by applying occupational well-being (exhaustion, vigour) as a mediator. The study was inspired by two theories: the conservation of resources and emotional contagion theories. We investigated the relationships at the individual and work department levels by utilizing Multi-Level Structural Equation Modeling (ML-SEM) with the aim of clarifying whether the mediating mechanism was similar at both levels. In addition, we examined the relationships across the levels (cross-level interactions). Self-report data for the study were obtained from Finnish University staff (N = 2137 individual respondents from 78 work d…
Testing for Financial Contagion Between Developed and Emerging Markets During the 1997 East Asian Crisis
2003
In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon (2002), we test for contagion as a significant positive shift in the correlation between asset returns, taking into account heteroscedasticity and endogeneity bias. Furthermore, we improve on earlier empirical studies by carrying out a full sample test of the stability of the system that relies on more plausible (over)identifying restrictions. The estimation results provide some evidence of contagion, in particular from…
Prognostic factors and predictors of outcome in children with autism spectrum disorder: the role of the paediatrician.
2021
Abstract Background Autism spectrum disorder is a complex condition with wide variation in type and severity that involves persistent challenges in social interaction, speech and nonverbal communication, restricted/repetitive behaviours and adaptive behaviours. In recent years, research has deepened the study of the predictive factors of optimal outcome, intended as indicators of positive trajectory in children with a previous diagnosis of autism who, after a therapeutic path, show a significant reduction in the “core” symptoms of autism and a positive evolution in social, adaptive, affective, and relational skills. Methods The study included 40 children aged 21 to 66 months, enrolled betwe…