03826nam 2200637Ia 450 991080727900332120200520144314.01-4623-6181-11-4527-9647-597866128442321-4518-7366-21-282-84423-710.1596/1813-9450-4995(CKB)1000000000798242(SSID)ssj0000939941(PQKBManifestationID)11502258(PQKBTitleCode)TC0000939941(PQKBWorkID)10946028(PQKB)11019991(OCoLC)694141002(US-djbf)4995(IMF)WPIEE2009219(The World Bank)4995(MiAaPQ)EBC1605937(EXLCZ)99100000000079824220100326d2009 uf 0engurcn|||||||||txtrdacontentcrdamediacrrdacarrierThe uncertainty channel of contagion /prepared by Prakash Kannan and Fritzi Kohler-Geib1st ed.[Washington, D.C.] International Monetary Fund, Research Dept.20091 online resource (38 pages)IMF working paper ;WP/09/219"October 2009."1-4519-1786-4 Intro -- Contents -- I. Introduction -- II. Related Literature -- III. Model -- A. Environment -- B. Information Structure -- C. Timing -- D. Investor's Problem -- E. Firm's Problem -- F. Endogenizing the Share of Informed Investors -- G. Summary of Model and Testable Hypotheses -- IV. Empirical Analysis -- A. Methodology -- B. Data -- C. Results -- V. Conclusion -- VI. Appendix -- References -- Tables -- 1. Step 1- Effect of Crisis in "Country A" on Uncertainty in "Country B" -- 2. Step 2-Effect of Uncertainty on Probability of Crisis, all Initial Crisis Countries -- 3. Step 2-Effect of uncertainty on probability of crisis, without any interaction -- 4. Marginal Effect of Uncertainty on the Probablity of a Crisis -- 5. Sample of Countries -- 6. List of Variables -- 7. Step 2-Effect of Uncertainty on the Probablity of a Crisis, Restricting Attention to the Mexican, Russian and Thai Crises -- 8. Step 2-Effect of Uncertainty on the Probablity of a Crisis, Additional Control for Common Overexposed Fund Investors -- Figures -- 1. Uncertainty Around the Period of the Thai Crisis -- 2. Uncertainty Around the Period of the Argentine Crisis.The 2007 subprime crisis in the U.S. triggered a succession of financial crises around the globe, reigniting interest in the contagion phenomenon. Not all crises, however, are contagious. This paper models a new channel of contagion where the degree of anticipation of crises, through its impact on investor uncertainty, determines the occurrence of contagion. Incidences of surprise crises lead investors to doubt the accuracy of their informationgathering technology, which endogenously increases the probability of crises elsewhere. Anticipated crisis, instead, have the opposite effect. Importantly, this channel is empirically shown to have an independent effect beyond other contagion channels.IMF working paper ;WP/09/219.Financial crisesEconometric modelsContagion (Social psychology)Economic aspectsFinancial crisesEconometric models.Contagion (Social psychology)Economic aspects.338.951Kannan Prakash1606917Kohler-Geib Fritzi1606918International Monetary Fund.Research Dept.MiAaPQMiAaPQMiAaPQBOOK9910807279003321The Uncertainty Channel of Contagion3932911UNINA