Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

The paper constructs a new output gap measure for Vietnam by applying Bayesian methods to a two-equation AS-AD model, while treating the output gap as an unobservable series to be estimated together with other parameters. Model coefficients are easily interpretable, and the output gap series is consistent with a broader analysis of economic developments. Output gaps obtained from the HP detrending are subject to larger revisions than series obtained from a suitably adjusted model, and may be misleading compared to the model-based measure.

Industrial productivity --- Inflation (Finance) --- Statistical methods. --- Finance --- Natural rate of unemployment --- Productivity, Industrial --- TFP (Total factor productivity) --- Total factor productivity --- Industrial efficiency --- Production (Economic theory) --- Banks and Banking --- Foreign Exchange --- Inflation --- Production and Operations Management --- Business Fluctuations --- Cycles --- Price Level --- Deflation --- Model Construction and Estimation --- Macroeconomics: Production --- Interest Rates: Determination, Term Structure, and Effects --- Macroeconomics --- Currency --- Foreign exchange --- Output gap --- Potential output --- Real interest rates --- Real exchange rates --- Production --- Prices --- Financial services --- Economic theory --- Interest rates --- Vietnam

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This paper investigates whether financial crises are alike by considering whether a single modeling framework can fit multiple distinct crises in which contagion effects link markets across national borders and asset classes. The crises considered are Russia and LTCM in the second half of 1998, Brazil in early 1999, dot-com in 2000, Argentina in 2001-2005, and the recent U.S. subprime mortgage and credit crisis in 2007. Using daily stock and bond returns on emerging and developed markets from 1998 to 2007, the empirical results show that financial crises are indeed alike, as all linkages are statistically important across all crises. However, the strength of these linkages does vary across crises. Contagion channels are widespread during the Russian/LTCM crisis, are less important during subsequent crises until the subprime crisis, where again the transmission of contagion becomes rampant.

Contagion (Social psychology). --- Finance. --- Financial crises. --- Crashes, Financial --- Crises, Financial --- Financial crashes --- Financial panics --- Panics (Finance) --- Stock exchange crashes --- Stock market panics --- Crises --- Funding --- Funds --- Economics --- Currency question --- Social contagion --- Social psychology --- Memetics --- Finance: General --- Financial Risk Management --- Investments: Bonds --- Investments: Stocks --- Model Construction and Estimation --- International Financial Markets --- General Financial Markets: General (includes Measurement and Data) --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Financial Crises --- Finance --- Investment & securities --- Economic & financial crises & disasters --- Securities markets --- Stock markets --- Bonds --- Stocks --- Financial crises --- Financial markets --- Financial institutions --- Capital market --- Stock exchanges --- United States