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Empirical Modeling of Contagion; A Review of Methodologies

  • Mardi Dungey
  • Renee Fry
  • Vance Martin
  • Brenda González-Hermosillo

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.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 04/78.

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Length: 32
Date of creation: 01 May 2004
Date of revision:
Handle: RePEc:imf:imfwpa:04/78
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