Title of article
Asset prices and output growth volatility: the effects of financial crises
Author/Authors
Guglielmo Maria Caporale، نويسنده , , Nicola Spagnolo، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
6
From page
69
To page
74
Abstract
In this paper we investigate the real effects of financial crises. Empirical evidence on the consequences of the 1997 East Asian crisis for the casual relationship between stock prices and output growth volatility is provided. The effects of the crisis on cross-market volatility spillovers have been taken into account by including a dummy variable in the conditional variance specification.
Keywords
Multivariate GARCH , Stock prices , Output growth , Volatility , Financial crises
Journal title
Economics Letters
Serial Year
2003
Journal title
Economics Letters
Record number
435149
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