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Empirical Modeling of Contagion: A Review of Methodologies
Author:
Mr. Mardi Dungey null

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Ms. Renee Fry null

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Mr. Vance Martin null

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Ms. Brenda Gonzalez-Hermosillo
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Series:
IMF Working Papers
Volume/Issue:
Volume 2004: Issue 078
Language:
English
Publication Date:
01 May 2004
DOI:
https://doi.org/10.5089/9781451850130.001
ISBN:
9781451850130
ISSN:
1018-5941
Pages:
32
Keywords:
WP; disp-formula id; regression equation; least squares
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund