Empirical Modeling of Contagion: A Review of Methodologies

Mardi Dungey (), Renee A. Fry (), Vance Lindsay Martin and González-Hermosillo, Brenda

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 crisis; Economic models (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-fin and nep-fmk
Date: 2004-05-20
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Related works:
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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