The dynamics of global financial crises

This thesis presents a Markov chain model of the transmission of financial crises. Using bilateral trade data and a measure of exchange market pressure, it develops a method to determine a set of transition probabilities that describe the crisis transmission dynamics. The dynamics are characterized by one month conditional crisis probabilities and the probability of a crisis occurring within one year. Calculations of the transition probabilities for a three country example suggest that minor trading partners can increase the likelihood of a crisis in the home country through their effect on major trading partners.

Department dc:contributor.department

Massachusetts Institute of Technology. Operations Research Center.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2002

Author dc:creator

• Amonlirdviman, Kevin, 1975-

Advisor dc:contributor.advisor

• Andrew W. Lo.

• Operations Research Center.

Statement dc:rights

• M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/8516

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/8516