Empirical Modeling of Contagion: A Review of Methodologies
IMF Working Papers, May 1, 2004
Source details
- Canonical URL
- Empirical Modeling of Contagion: A Review of Methodologies
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Bibliographic details
- Authors: Mardi Dungey, Renee Fry, Vance Martin, Brenda Gonzalez-Hermosillo
- Published: May 1, 2004
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451850130.001
Summary and scope
- The paper reviews alternative methods to test for the presence of contagion during financial market crises.
- It shows how those methods are related in a unified framework.
- Extensions are suggested that allow for multivariate testing, endogeneity issues, and structural breaks.
Key findings and methodological contributions
- The existing literature offers a number of alternative methods to detect contagion in financial markets.
- The review demonstrates relationships among these methods within a unified framework.
- Suggested extensions address:
- Multivariate testing.
- Endogeneity issues.
- Structural breaks.
Subject classifications and keywords
- Subject: Factor models, Financial crises, Securities markets, Stock markets, Vector autoregression
- Keywords: disp-formula id, least squares, regression equation, WP
Source: Empirical Modeling of Contagion: A Review of Methodologies, IMF Working Paper No. 2004/078.
Content in this bundle
- _wp0478 - References