The dynamics of global financial crises

Author(s)
Amonlirdviman, Kevin, 1975-
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Massachusetts Institute of Technology. Operations Research Center.
Advisor
Andrew W. Lo.
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Abstract
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.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2002.
 
Includes bibliographical references (p. 57-58).
 
Date issued
2002
URI
http://hdl.handle.net/1721.1/8516
Department
Massachusetts Institute of Technology. Operations Research Center; Sloan School of Management
Publisher
Massachusetts Institute of Technology
Keywords
Operations Research Center.
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