Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method

Table 7

Financial contagion analysis between the US and Germany.

Parameters	𝑐1	𝑎12	𝑏11	𝑐2	𝑎21	𝑏22
Precrisis	−3.2792	0.0204	−0.9912	0.0126	0.0019	1.0125
	(0.1669)***	(0.0152	(0.0111)***	(0.0070)*	(0.0077)	(0.0026)***
Crisis	−0.0550	−0.1400	0.9218	−0.0044	0.0863	1.0386
	(0.0336)*	(0.0477)***	(0.0266)***	(0.0162)	(0.0256)***	(0.0077)***
Recovery	−4.3511	0.0133	−0.8860	−1.4618	−0.4146	0.0097
	(1.3772)***	(0.0846)	(0.6013)	(0.4062)***	(0.1496)***	(0.2052)

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.