We test for pure contagion effects in international banking arising from the failure of the Bank of Credit and Commerce International (BCCI), one of the largest bank failures in the world. We focused on large individual banks in three developed countries where BCCI had established operations,...

This article uses the ACE algorithm to non-linearly transform stock prices and dividends for the USA for the period 1871-1999. It finds strong evidence of cointegration between the transformed variables, which can be characterized as non-linear cointegration. It concludes that departures from...