Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method

Table 6

Financial contagion analysis between US and France.

Parameters	𝑐1	𝑎12	𝑏11	𝑐2	𝑎21	𝑏22
Precrisis	−3.0343	0.0071	−0.9769	0.0766	0.0000	1.0678
	(0.2408)***	(0.0399)	(0.0859)***	(0.0000)***	(0.0000)	(0.0000)***
Crisis	−0.2327	−0.4096	0.7474	0.0254	−0.0664	0.9751
	(0.0782)***	(0.0954)***	(0.0500)***	(0.0122)	(0.0196)***	(0.0065)***
Recovery	−0.1490	−0.2760	0.8462	−3.4290	0.2311	−0.5932
	(0.0693)**	(0.1155)**	(0.0583)***	(0.3309)***	(0.0990)**	(0.1592)***

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.