Empirical Modeling of Contagion: A Review of Methodologies

Author/Editor:

Mardi Dungey ; Renee Fry ; Vance Martin ; Brenda Gonzalez-Hermosillo

Publication Date:

May 1, 2004

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate testing, endogeneity issues, and structural breaks.

Series:

Working Paper No. 2004/078

Subject:

Factor models Financial crises Securities markets Stock markets Vector autoregression

English

Publication Date:

May 1, 2004

ISBN/ISSN:

9781451850130/1018-5941

Stock No:

WPIEA0782004

Pages:

32

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