Dynamic Count Models of Financial Contagion with Applications to Global Banking and Currency Crises

利用发达国家和新兴国家的银行和货币危机的年度时间序列，开发和应用了传染和相互关联的国际模型。该模型代表了一类新的多变量动态计算模型，该模型允许重要的动态交互作用，以捕捉金融危机在国内和国际资产市场的传播。研究了模型的性质以及基于仿真技术的新估计方法的发展。这一方法的一个重要含义是，它可以被用作未来危机的预警信号，从而为未来危机管理政策的设计提供投入。

An international model of contagion and interconnectedness is developed and applied using annual time series on banking and currency crises in developed and emerging countries. The model represents a new class of multivariate dynamic count models that allows for important dynamical interactions to capture the transmission of financial crises across national and international asset markets. The properties of the models are investigated as well as the development of new estimation methods based on simulation techniques. An important implication of the approach is that it can be used as an early warning signal of future crises, thereby providing an input into the design of future policy on crisis management.