Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method

Table 5

Financial contagion analysis between the US and UK.

Parameters	𝑐1	𝑎12	𝑏11	𝑐2	𝑎21	𝑏22
Precrisis	0.0270	0.0292	1.0255	0.0171	0.0110	1.0208
	(0.0208)	(0.0366)	(0.0227)***	(0.0070)**	(0.0169)	(0.0107)***
Crisis	0.0148	0.0516	1.0291	0.0254	−0.0516	0.9888
	(0.0089)*	(0.0128)***	(0.0038)***	(0.0109)**	(0.0171)***	(0.0046)***
Recovery	−3.4809	−0.0129	−0.9977	−3.4290	0.0071	−0.8669
	(0.0969)***	(0.0150)	(0.0035)***	(0.7464)***	(0.0550)	(0.4042)***

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