Brenda González-Hermosillo
| Date of Ph.D. defense: | 9 May 2008 |
| Title of thesis: | Transmission of Shocks Across Global Financial Markets: The Role of Contagion and Investors' Risk Appetite |
| ISBN: | 978 90 5668 209 5 |
| Promotores: | Prof.dr. S.C.W. Eijffinger |
Abstract:
This research examines the role of contagion in transmitting shocks across markets. One possible conduit for contagion is shifts in international investors' risk appetite. The aim of this research is to propose a methodology to address the current gaps in the literature of contagion. The thesis examines a number of financial crises during the past decade, encompassing daily financial data for a representative set of mature and emerging markets.
The policy interest in this area is clear as contagion can play a key role in spreading idiosyncratic financial shocks across the world. Indeed, contagion effects can lead to systemic global financial crises.
Global / English