Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method

Table 4

Financial contagion analysis between the US and Japan.

Parameters	𝑐1	𝑎12	𝑏11	𝑐2	𝑎21	𝑏22
Precrisis	−3.5184	−0.0866	−0.7231	−0.1383	−0.0239	0.8897
	(1.2479)***	(0.1806)	(0.6273)	(0.4116)	(0.0557)	(0.3054)***
Crisis	−0.9344	−1.0917	0.3553	−0.0333	0.0011	0.9949
	(0.2990)	(0.0956)***	(0.0872)***	(0.0059)***	(0.0094)	(0.0042)***
Recovery	−2.7990	0.3103	−0.3753	0.0161	−0.0146	1.0001
	(1.3049)**	(0.1331)	(0.6186)	(0.0047)***	(0.0049)***	(0.0010)***

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 5% level.
***Significant at 1% level.