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Empirical Modeling of Contagion; A Review of Methodologies

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

No 04/78, 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: Financial crises; Financial crisis; Foreign exchange; contagion, equation, correlation, covariance, equations, Simulation Methods, (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-fin and nep-fmk
Date: 2004-05-01
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Journal Article: Empirical modelling of contagion: a review of methodologies (2005) Downloads
Working Paper: Empirical Modelling of Contagion: A Review of Methodologies (2004) Downloads
Working Paper: Empirical Modelling of Contagion: A Review of Methodologies (2004) Downloads
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