- Title
- Financial contagion : An empirical investigation of the relationship between financial-stress indexes of Australia and the US
- Creator
- Mukulu, Sandra; Hettihewa, Samanthala; Wright, Christopher
- Date
- 2014
- Type
- Text; Journal article
- Identifier
- http://researchonline.federation.edu.au/vital/access/HandleResolver/1959.17/163601
- Identifier
- vital:12889
- Identifier
- ISBN:1499-691X
- Abstract
- A key departure in this study from many earlier studies is that, on the continuum of financial stress from nil to very high, both very high levels of stress and very low levels are seen as being harmful and potential harbinger of a financial-market crisis. Specifically, a surfeit of stress can act as a tipping point into crisis and a dearth of stress can encourage hubris and increase a nation’s susceptibility to financial contagion from another nation; even one that is far removed by geographic and/or economic distance. This paper focuses on developing financial stress indices for the US and Australia using composite market indices, trade weight indices and yields on securities with different maturity dates. Monthly data from January 1989 to December 2011 was sourced from the Australian Bureau of Statistics (ABS), the Reserve Bank of Australia (RBA), the Federal Reserve Bank (FRB), the Bureau of Economic Analysis (BEA), the Federal Reserve Bank of St Louis website, Bank of Canada, Reserve Bank of New Zealand and Yahoo finance website. For purposes of this study the aggregate measures of stress consists of inverted yield spreads, volatility measures for market indices, volatility measures of trade weighted indexes, risk spreads, credit risk spreads and a measures of risk in the equity market.
- Publisher
- North American Business Press
- Relation
- Journal of Applied Business and Economics Vol. 16, no. 3 (2014), p. 11-34
- Rights
- Copyright © North American Business Press
- Rights
- This metadata is freely available under a CCO license
- Subject
- 1402 Applied Economics; 1502 Banking, Finance and Investment; Finanical stress indexes; Australia; United States
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