Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

In this paper, we propose an empirical model based on the heterogeneous agents literature. Price changes are induced by fundamental, technical, and international factors. The model is estimated for Hong Kong and Thailand surrounding the Asian crisis. We find that the three sources are relevant and that their relative price impact fluctuates conditional on price impact in the previous period. Results imply that the crisis is triggered in Thailand due to an increased focus on the fundamental price, followed by an increase in chartism and finally aggravated by a focus on foreign developments. Furthermore, the crisis deepens in Hong Kong because of increased attention for foreign markets.

Original languageEnglish
Pages (from-to)1929-1944
Number of pages16
JournalJournal of Economic Dynamics and Control
Volume33
Issue number11
DOIs
Publication statusPublished - Nov 2009

Fingerprint

Contagion
Heterogeneous Agents
Empirical Model
Model-based
Imply
Evidence
Crisis
Hong Kong
Price impact
Shift contagion
Behavioral heterogeneity
Thailand
Asian crisis
International factors
Heterogeneous agents
Empirical model
Price changes
Relative prices
Chartism

Keywords

  • Asian crisis
  • Contagion
  • Dynamic models
  • Heterogeneous expectations

Cite this

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title = "Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis",
abstract = "In this paper, we propose an empirical model based on the heterogeneous agents literature. Price changes are induced by fundamental, technical, and international factors. The model is estimated for Hong Kong and Thailand surrounding the Asian crisis. We find that the three sources are relevant and that their relative price impact fluctuates conditional on price impact in the previous period. Results imply that the crisis is triggered in Thailand due to an increased focus on the fundamental price, followed by an increase in chartism and finally aggravated by a focus on foreign developments. Furthermore, the crisis deepens in Hong Kong because of increased attention for foreign markets.",
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Behavioural heterogeneity and shift-contagion : Evidence from the Asian crisis. / De Jong, Eelke; Verschoor, Willem F C; Zwinkels, Remco C J.

In: Journal of Economic Dynamics and Control, Vol. 33, No. 11, 11.2009, p. 1929-1944.

Research output: Contribution to JournalArticleAcademicpeer-review

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