Contagion from the US debt crisis: the relationship between integration and contagion and the mitigating effect of anti-crisis measures

Sammanfattning: The aim of the paper is to draw a conclusion about the effect that integration has on the (in)stability of the linkages between international stock markets. To measure this (in)stability we focus on the contagion effect caused by the US debt crisis. Furthermore, we take the anti-crisis policies of the different countries into account and discuss whether this could have a mitigating effect on the relationship between integration and contagion. Our findings show that there is no clear evidence that more integrated countries face more contagion. Liquidity provisions seem to be more effective for less integrated countries, while capital injections and liability guarantees seem to have less effect for integrated countries. A cut in the interest rate is an anti-crisis measure that can be associated with a decrease in contagion, regardless of the level of integration.