Empirical Analysis and Test Methods on Contagion Effects of Financial Crisis

摘要

The international financial crisis frequently breaking out since 1990s, especially the recent crisis triggered by the U.S. subprime mortgage crisis, shows that, one of the typical manifestations of financial crisis is the contagion effect imposed on countries through financial market system. To prevent economy from being destroyed by financial crisis contagion, this paper puts forward a new testing approach on the contagion effect of financial crisis, based on VAR system, i.e. to test the contagion effect of financial crisis through analyzing the changes in the causal relationship between each country's market volatility before and after the crisis as well as the changes in a contagion-receiving country's responses to the impact from the crisis-origin country. Empirical study shows that, this new approach is effective and practical in testing the contagion effect of financial crisis.