{"id":9066,"date":"2022-07-27T06:50:06","date_gmt":"2022-07-27T06:50:06","guid":{"rendered":"https:\/\/depocen.org\/publications\/global-financial-crisis-extremeinterdependences-and-contagion-effectsthe-role-of-economic-structure\/"},"modified":"2022-07-27T06:50:06","modified_gmt":"2022-07-27T06:50:06","slug":"global-financial-crisis-extremeinterdependences-and-contagion-effectsthe-role-of-economic-structure","status":"publish","type":"publications","link":"https:\/\/depocen.org\/vi\/publications\/global-financial-crisis-extremeinterdependences-and-contagion-effectsthe-role-of-economic-structure\/","title":{"rendered":"Global Financial Crisis, Extreme\r\nInterdependences, and Contagion Effects:\r\nThe Role of Economic Structure"},"content":{"rendered":"<p>The paper examines the extent of the current global crisis and the contagion effects<br \/>\nit induces by conducting an empirical investigation of the extreme financial interde-<br \/>\npendences of some selected emerging markets with the US. Several copula functions<br \/>\nthat provide the necessary flexibility to capture the dynamic patterns of fat tail as<br \/>\nwell as linear and nonlinear interdependences are used to model the degree of cross-<br \/>\nmarket linkages. Using daily return data from Brazil, Russia, India, China (BRIC<br \/>\nmarkets) and the US, our empirical results show strong evidence of time-varying<br \/>\ndependence between each of the BRIC markets and the US markets, but the depen-<br \/>\ndency is stronger for commodity-price dependent markets than for finished-product<br \/>\nexport-oriented markets. We also observe high levels of dependence persistence for<br \/>\nall market pairs during both bullish and bearish markets.<\/p>\n","protected":false},"featured_media":0,"template":"","cate_publications":[],"author_publications":[1566,1772],"topic_publications":[],"class_list":["post-9066","publications","type-publications","status-publish","hentry","author_publications-duc-khuong-nguyen","author_publications-riadh-aloui-mohamed-safouane-ben-aissa"],"acf":[],"_links":{"self":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/publications\/9066","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/publications"}],"about":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/types\/publications"}],"wp:attachment":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/media?parent=9066"}],"wp:term":[{"taxonomy":"cate_publications","embeddable":true,"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/cate_publications?post=9066"},{"taxonomy":"author_publications","embeddable":true,"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/author_publications?post=9066"},{"taxonomy":"topic_publications","embeddable":true,"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/topic_publications?post=9066"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}