2024-03-29T00:34:17Zhttps://www.tdx.cat/oai/requestoai:www.tdx.cat:10803/3939332023-06-09T08:27:18Zcom_10803_1col_10803_43
nam a 5i 4500
Economia internacional
Economía internacional
International economic relations
Integració econòmica
Integración económica
Economic integration
Estadística econòmica
Estadística económica
Economic statistics
Crisis and financial contagion: new evidences and new methodological approach
[Barcelona] :
Universitat de Barcelona,
2016
Accés lliure
http://hdl.handle.net/10803/393933
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Villar Frexedas, Óscar,
autor
1 recurs en línia (151 pàgines)
Tesi
Doctorat
Universitat de Barcelona. Departament d'Econometria, Estadística i Economia Espanyola
2015
Universitat de Barcelona. Departament d'Econometria, Estadística i Economia Espanyola
Tesis i dissertacions electròniques
Carrión i Silvestre, Josep Lluís,
supervisor acadèmic
TDX
Thesis consists of three empirical studies focusing on financial crisis, which base on different definitions of financial contagion definitions and use of methodological approaches. The first chapter defines contagion focusing on the channels of transmission of the crisis and uses the implementation of spatial econometrics as a mechanism for assessing contagion. Unlike the other methodologies used, spatial econometrics allows for an expression of the transmission mechanisms of crisis under explicit dynamic-spatial assumptions. The second and third chapters consider the definition of “shift-contagion”, a definition that is extremely useful to measure and test contagion. The second chapter follows a strategy based on the specification of an approximate factor model and assesses the presence of “shift-contagion” considering the presence of structural breaks in the variance of the common factors. The third chapter analyses the presence of “shift-contagion” using a new integration procedure that is robust to the main econometric problems of the financial time series, i.e., the lack of accounting for heteroscedastic variance.
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