This study examines the US interest rate pass-through mechanism and considers the illiquidity shocks upon retail interest rate correlations caused by financial crises between 1986 and 2011. We estimate a bi-variable EGARCH model using a dynamic conditional correlation model developed by Engle...

This paper examines the Vietnamese stock market with an extension of the recent investigation of risk contagion effects. Daily data spanning October 9, 2006–June 19, 2009 are sourced for the empirical validation of the risk contagion between the stock markets in Vietnam, China, and the U.S. To...

<title>Abstract</title>This study tests whether gold can effectively hedge exchange rate risks. We take into account the asymmetric characteristic of exchange rate fluctuations and use the dynamic panel threshold model in order to select gold prices in major gold-related currencies in the world: the Australian...

Many economists believe that China avoided the so-called Asian flu due to its strong balance of payments position and substantial foreign reserves. This study introduces an improved method for testing financial-crisis contagion and shows that crisis-contagion effects were significant among...