Empirical Modeling of Contagion: A Review of Methodologies

33 Pages Posted: 15 Feb 2006

See all articles by Mardi Dungey

Mardi Dungey

University of Cambridge - Cambridge Endowment for Research in Finance (CERF)

Renee Fry

Australian National University (ANU) - Department of Economics

Date Written: May 2004

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: contagion, financial crises

JEL Classification: C15, F31

Suggested Citation

Dungey, Mardi and Fry, Renee, Empirical Modeling of Contagion: A Review of Methodologies (May 2004). IMF Working Paper No. 04/78, Available at SSRN: https://ssrn.com/abstract=878901

Mardi Dungey (Contact Author)

University of Cambridge - Cambridge Endowment for Research in Finance (CERF) ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom

HOME PAGE: http://www.dungey.bigpondhosting.com

Renee Fry

Australian National University (ANU) - Department of Economics ( email )

Canberra, Australian Capital Territory 2600
Australia

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