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In this paper we investigate the real effects of financial crises. Empirical evidence on the consequences of the 1997 East Asian crisis for the casual relationship between stock prices and output growth volatility is provided. The effects of the crisis on cross-market volatility spillovers have been taken into account by including a dummy variable in the conditional variance specification.
This paper derives an analytical expression for an impulse-response function for a vector autoregression with multivariate GARCH errors, where the vector of conditional means is a function of the conditional variances. We also provide the appropriate interpretation of an impulse-response function for such models and suggest interesting empirical issues that can be addressed within this framework.
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