| Financial crisis, a rare economic phenomenon once only contained within a nation, now has become easier to happen, internationally infectious, and more destructive along with the ever-going economic globalization and financial liberalization. The 2007 world financial crisis demonstrated such a power:it originated from U.S. sub-prime loans and eventually became a global, systemic financial crisis that had swept the world's financial markets as well as real economies. Despite the outbreak being behind us for more than two years, its negative impact on the world economy is still far-fetched. Compared to previous crises, this international financial crisis possesses some obviously different features, such as the global and systematic nature of contagion being even more significant, the interaction with the real economy being more obvious, and spatial dependence and spatial heterogeneity of financial contagion becoming more salient. Even among some countries that are far apart in distance and have no close relationship in finance or real economy, the contagion of financial crisis also took place. These issues deeply relate to profound regional economic structures and international relations of that time and apparently go beyond the research regime of traditional econometrics;there is an urgent need to introduce new methods of analysis and thinking. The paper presented here attempts to provide reasonable explanations of these issues through time series analysis and spatial econometric methods.Assuming the existence of non-physical spatial dependence for the spread of the 2007-2009 international financial crisis, this paper analyzed the spatiotemporal mechanism of crisis transmission through a series of theoretical reasoning and empirical tests. A theoretical model for detecting and analyzing the major paths, spatial dependence and heterogeneity was constructed in accordance with the Three-Generation Financial Crisis Model, Masson's theory of international contagion mechanism of financial crisis, as well as the aforementioned assumption. Empirically, temporal characteristics (i.e. intensity, duration, feedback effects) of the contagion were first detected using a vector auto-regression model. Then an economic and political system space of financial crisis contagion was constructed with the economic freedom index, and the autocorrelation of the crisis contagion within both physical space and system space was examined respectively through exploratory spatial data analyses.Based on the established theoretical framework of financial crisis contagion, this paper eventually conducted a spatial panel data analysis by organically combining the macroeconomic fundamentals, financial and trade ties, and the similarity between countries to empirically test and analyze the crisis's main transmission mechanism, spatial dependence, and spatial heterogeneity. This study draws the following conclusions:(1)The contagion process of the international financial crisis exhibits an inverse linear feedback mechanism and a mesh cross-infection mechanism.During the incubation period of the financial crisis, major financial markets of other countries were affected unilaterally by the U.S.financial market volatilities. Starting from the outbreak of the financial crisis, a bilateral causal relationship between the financial markets of the United States and other countries became increasingly significant. As the number of infected countries increased, the crisis in these countries in turn further transmitted to the source of infection-the United States. This shows an inverse feedback contagion effect. In the phase of real economy crisis, on the other hand, the degree of cross-infection among the U.S.financial crisis and those taking places in other countries was significantly increased. This helped to forge a realistic background for the spread of the international financial crisis from local to global, from a linear pattern to a mesh pattern. Impulse response analysis shows that the impact of the U.S.financial market volatility on other countries'financial markets exceeded the normal range, and the strength of impact increased continuously, the duration of the impact also lengthened. As the financial crisis spread to the real economy, this kind of impact was gradually leveling off.(2) The spatial path of international financial crisis clearly shows the existence of a spatial dependence of the economic system.Referring to the ideological architecture of an absolute physical space in classic cartography, this paper constructed different kinds of economic and political spaces for the four infectious stages of the financial crisis through decomposition and re-synthesis of selected world economic freedom indices. Research results based on exploratory spatial data analysis indicated that in the latent and local outbreak stages, the contagion of the crisis presented signs of dependence in both physical space and economic system space, with the dependence in the latter much stronger and more significant than that in the former. As a result, the work confirmed the theoretical hypothesis proposed in this thesis about the contagion of international financial crises through a non-physical space, that is, the similarity of economic and political systems among different countries has heavier weight than the physical distance on the contagion of financial crisis between these countries.(3) The dependence of the financial crisis contagion on system-space is significantly enhanced along with the intensification of the crisis itself.Analytic results from the spatial panel data modeling in this study show that the contagion of the international financial crisis presented obvious spatial dependence within the constructed economic-political system space in each of the four contagion phases. This indicates that the convergence of the economic and political systems among different countries comprises an important driving factor in the spatial spread of the crisis. Moreover, as the financial crisis intensified, this trend of relying on the similarity space of economic systems to transmit crisis was significantly enhanced. Such dependence revealed in this study is exactly a manifestation of the net contagion effect of a financial crisis transmission mechanism, a concept proposed by Masson. Findings of this study also provided evidence of this net contagion, which has rarely been found in other studies. We can learn a few lessons from these empirical results, such as the fact that the reason why China suffered much less impact from this international financial crisis than any other country is because the currently-practiced economic and political system in China may to some extent effectively resist the contagion of financial crisis.(4) Three types of transmission mechanism were shown in the contagion process of the international financial crisis, including the monsoon effect, the spillover effect, and the net effect.Macroeconomic fundamentals are the common factors across all four stages of the crisis contagion process. The impact of financial spillover on the crisis transmission impact is more obvious in the phases of the global financial tsunami and the crisis of real economies. The trade spillover is an important channel for contagion in the crisis-latent phase and the global financial tsunami.During the global financial tsunami, the vulnerability of macroeconomic fundamentals and links between finance and trade are the impact factors of the financial crisis contagion. The combined effects of the three contagion mechanisms exacerbated the strength and breadth of the financial crisis, i.e. they are intertwined to function simultaneously in the course of financial crisis contagion.â…¦... |
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