Some critics to the contagion correlation test

Sarai Criado ()

No 05-01, Working Papers from Asociación Española de Economía y Finanzas Internacionales

Abstract: The term contagion is generally used to refer to the spread3 of market shocks from one country to another. However, identifying what is meant by contagion and its consequences has become in recent years a literature in itself4, given the importance of such consequences on economies all over the world. Despite the lack of theoretical consensus, some authors try to measure contagion through the use of correlation tests. The aim of my work is to raise a technical and conceptual critique concerning these models. To support my concerns I provide a broad vision and background of contagion literature and an insight in the particular field of contagion correlation test. The work is organized in four parts. Firstly, an overview of definitional issues concerning contagion, as presented in the literature, is explained together with the different crisis transmission channels that authors have identified. Secondly, a detailed description of the contagion correlation test as the most common means to search for contagion is presented, giving a full overview of the models used in the literature. Thirdly, I will express my concerns about the test and the models of the previous section. Finally, some conclusions are stated.

Pages: 33 pages
Date: 2005-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.aeefi.com/RePEc/pdf/defi05-01.pdf (application/pdf)

Related works:
Working Paper: Some critics to the contagion correlation test
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aee:wpaper:0501

Access Statistics for this paper

More papers in Working Papers from Asociación Española de Economía y Finanzas Internacionales Contact information at EDIRC.
Bibliographic data for series maintained by Luis Miguel del Corral Cuervo ().