Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method

Table 3

Financial contagion analysis between the US and China.

Parameters	𝑐1	𝑎12	𝑏11	𝑐2	𝑎21	𝑏22
Precrisis	−0.0298	0.0580	1.0016	0.0166	−0.0015	1.0118
	(0.0078)***	(0.0193)***	(0.0019)***	(0.0046)***	(0.0032)	(0.0053)
Crisis	−0.5988	0.0294	0.8932	0.1006	−0.0537	0.9954
	(1.4327)	(0.0719)	(0.2574)***	(0.0425)***	(0.0151)***	(0.0032)***
Recovery	−4.8570	0.0554	−0.8753	−3.0359	−0.0569	−0.7033
	(0.1735)***	(0.0671)	(0.0360)***	(0.7243)***	(0.0600)	(0.3949)*

Notes: standard errors are in parentheses. The overall sample period is portioned into three subsamples: a precrisis period spanning from 1/2006 to 12/2007, a crisis period spanning from 1/2008 to 6/2009, and a recovery period spanning from 7/2009 to 7/2013.
*Significant at 10% level.
***Significant at 1% level.