The Uncertainty Channel of Contagion

The 2007 subprime crisis in the United States has triggered a succession of financial crises around the globe, reigniting interest in the contagion phenomenon. Not all crises, however, are contagious. This paper models a new channel of contagion wh...

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Bibliographic Details
Main Authors:	Kannan, Prakash, Kohler-Geib, Fritzi
Format:	Policy Research Working Paper
Language:	English
Published:	2012
Subjects:	ABSOLUTE VALUE ADVANCED ECONOMIES ASSET VALUES ASSETS BANKS BOND RATE BOND SPREADS BOND YIELD BORROWING CAPITAL FLOWS CONTRIBUTIONS CONTROL VARIABLES COST OF FUNDS COUNTRY FIXED EFFECTS COUNTRY MARKET COUNTRY RISK COVARIANCE MATRIX CREDIT RATINGS CREDITOR CREDITORS CRISIS COUNTRIES CRISIS COUNTRY CURRENCY CURRENCY CRISES DEBT DEBT DEFAULT DEPENDENT VARIABLE DERIVATIVE DEVALUATION DEVELOPMENT ECONOMICS DIRECTION OF TRADE DISCLOSURE OF INFORMATION DIVERSIFICATION DOMESTIC BOND DOMESTIC MARKET DRIVERS ECONOMIC CRISES ECONOMIC MANAGEMENT ECONOMIC POLICY ECONOMIC RISK ECONOMIC THEORY EFFICIENT MARKETS EMERGING ECONOMIES EMERGING MARKET EMERGING MARKET COUNTRIES EMERGING MARKETS EQUILIBRIUM EQUILIBRIUM PRICE EQUITY FUNDS ERROR TERM EXCESS LIQUIDITY EXCHANGE RATE EXCHANGE RATE MECHANISM EXCHANGE RATES EXPLANATORY VARIABLE EXPLANATORY VARIABLES EXPOSURE FINANCE CORPORATION FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL RISK FINANCIAL STABILITY FINANCIAL SUPPORT FINANCIAL VARIABLES FOREIGN INVESTMENT FOREIGN INVESTOR FOREIGN INVESTORS FUND INVESTMENTS GLOBALIZATION GLOBALIZATION OF SECURITIES GOVERNMENT BOND GOVERNMENT BOND YIELD GOVERNMENT BONDS GROUP OF INVESTORS GROWTH RATE HOLDING IMPERFECT INFORMATION INDIVIDUAL INVESTOR INFORMATION ASYMMETRY INFORMATION DISCLOSURE INFORMATION PROCESSING INFORMED INVESTOR INFORMED INVESTORS INTEREST RATE INTEREST RATES INTERNATIONAL BANK INTERNATIONAL ECONOMICS INTERNATIONAL FINANCE INTERNATIONAL FINANCIAL CONTAGION INTERNATIONAL FINANCIAL STATISTICS INTERNATIONAL MONEY INTERNATIONAL PORTFOLIO INTERPOLATION INVESTING INVESTMENT BANK INVESTMENT DECISIONS INVESTMENT PORTFOLIOS INVESTMENT TECHNOLOGY INVESTOR BEHAVIOR INVESTOR UNCERTAINTY LIQUIDITY LONG-TERM INTEREST LONG-TERM INTEREST RATE MACROECONOMIC RISKS MARKET PARTICIPANTS MARKET RETURNS MARKET SIZE MARKET VALUE MONETARY FUND MORTGAGE MORTGAGE MARKET MOTIVATION MUTUAL FUNDS NET ASSET OUTPUT PARTICULAR COUNTRY POLITICAL RISK POLITICAL RISKS PORTFOLIO PORTFOLIO HOLDINGS POVERTY REDUCTION PRIVATE CAPITAL PRIVATE CAPITAL INFLOWS PROBABILITY PURCHASES RANDOM VARIABLES RATE OF RETURN REGIONAL CRISES REGIONAL SHOCK RETURN RISK AVERSION RISK FACTORS RISK-FREE RETURN ROBUSTNESS CHECK SALES SECURITIES SECURITIES MARKETS SECURITY MARKET SOCIAL VALUE SOVEREIGN DEBT SPECULATIVE ATTACKS STANDARD DEVIATION STANDARD DEVIATIONS STOCK MARKET STOCK MARKET INDEX STOCK MARKET INDICES STOCK MARKET VOLATILITY STOCK MARKETS STOCK RETURNS TERMINATION TIME HORIZON TOTAL EXPORTS TRADE SHARE TRADE SHARES TRADE STATISTICS TRANSPARENCY UNINFORMED INVESTOR UNINFORMED INVESTORS WEALTH EFFECTS WORTH
Online Access:	http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20090716083131 http://hdl.handle.net/10986/4188