Empirical Modeling of Contagion: A Review of Methodologies
33 Pages Posted: 15 Feb 2006
Date Written: May 2004
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: Suggested Citation