Empirical Modeling of Contagion: A Review of Methodologies

ByMardi Dungey, Renee Fry, Vance Martin, Brenda Gonzalez-Hermosillo

May 1, 2004

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.

Subject: Factor models, Financial crises, Securities markets, Stock markets, Vector autoregression

Keywords: disp-formula id, least squares, regression equation, WP

Pages:
32
Volume:
2004
DOI:
https://doi.org/10.5089/9781451850130.001
Issue:
078
Series:
Working Paper No. 2004/078
Stock No:
WPIEA0782004
ISBN:
9781451850130
ISSN:
1018-5941

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