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Empirical Modelling of Contagion: A Review of Methodologies

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Author Info
Vance L. Martin
Brenda Gonzalez-Hermosillo,
Mardi Dungey
Renee A. Fry

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Abstract

The existing literature promotes 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 which allow for multivarite testing, endogeneity issues and structural breaks.

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Paper provided by Econometric Society in its series Econometric Society 2004 Australasian Meetings with number 243.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:ausm04:243

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Keywords: Contagion Financial Crises

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Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
F31 - International Economics - - International Finance - - - Foreign Exchange

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  20. repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
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    Other versions:
  25. Robert Flood & Nancy Marion, 1998. "Perspectives on the Recent Currency Crisis Literature," NBER Working Papers 6380, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  27. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715. [Downloadable!]
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Lestano & Jan Jacobs & Gerard H. Kuper, 2004. "Indicators of financial crises do work! An early-warning system for six Asian countries," International Finance 0409001, EconWPA. [Downloadable!]
    Other versions:
  2. Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS. [Downloadable!]
  3. Alex Mandilaras & Graham Bird, 2007. "Foreign exchange markets in south-east Asia 1990-2004: An empirical analysis of spillovers during crisis and non-crisis periods," Money Macro and Finance (MMF) Research Group Conference 2006 40, Money Macro and Finance Research Group. [Downloadable!]
    Other versions:
  4. Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini & Nicola Spagnolo, 2005. "Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 359-367. [Downloadable!]
    Other versions:
  5. Lorenzo Cappiello & Bruno Gérard & Simone Manganelli, 2005. "Measuring comovements by regression quantiles," Working Paper Series 501, European Central Bank. [Downloadable!]
  6. Jokipii , Terhi & Lucey, Brian, 2006. "Contagion and interdependence: measuring CEE banking sector co-movements," Research Discussion Papers 15/2006, Bank of Finland. [Downloadable!]
    Other versions:
  7. Oscar Villar & Esther Vayá, 2005. "Financial Contagion between Economies - an Exploratory Spatial Analysis," ERSA conference papers ersa05p574, European Regional Science Association. [Downloadable!]
  8. Hashem Pesaran & Andreas Pick, 2004. "Econometric Issues in the Analysis of Contagion," Money Macro and Finance (MMF) Research Group Conference 2004 67, Money Macro and Finance Research Group. [Downloadable!]
    Other versions:
  9. Marcus Pramor & Natalia T. Tamirisa, 2006. "Common Volatility Trends in the Central and Eastern European Currencies and the Euro," IMF Working Papers 06/206, International Monetary Fund. [Downloadable!]
  10. Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2008. "Hedge Fund Contagion and Liquidity," NBER Working Papers 14068, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Dirk Baur & Renee Fry, 2006. "Endogenous Contagion - A Panel Data Analysis," CAMA Working Papers 2006-09, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
  12. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: A European perspective," Working Papers DULBEA 06-07.RS, Université libre de Bruxelles, Department of Applied Economics (DULBEA). [Downloadable!]
  13. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society. [Downloadable!]
  14. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
  15. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005. "International Stock Return Comovements," NBER Working Papers 11906, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  16. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge. [Downloadable!]
  17. Kentaro Iwatsubo & Kazuyuki Inagaki, 2006. "Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms," CEI Working Paper Series 2006-14, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    Other versions:
  18. Vance L. Martin & Mardi Dungey, 2007. "Unravelling financial market linkages during crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 89-119. [Downloadable!]
  19. Siklos, Pierre & Bohl , Martin, 2006. "Policy words and policy deeds: the ECB and the euro," Research Discussion Papers 2/2006, Bank of Finland. [Downloadable!]
    Other versions:
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