Empirical Modeling of Contagion: A Review of Methodologies

Mardi Dungey, Renee Fry-McKibbin, Vance Martin and Brenda Gonzalez-Hermosillo

No 2004/078, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; disp-formula id; regression equation; least squares (search for similar items in EconPapers)
Pages: 32
Date: 2004-05-01
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Citations: View citations in EconPapers (59)

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Related works:
Journal Article: Empirical modelling of contagion: a review of methodologies (2005)
Working Paper: Empirical Modelling of Contagion: A Review of Methodologies (2004)
Working Paper: Empirical Modelling of Contagion: A Review of Methodologies (2004)
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