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Citations for "Contagion: How to Measure It?"

by Roberto Rigobon

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  1. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
  2. Dajcman, Silvio & Festic, Mejra, 2012. "The Interdependence of the Stock Markets of Slovenia, The Czech Republic and Hungary with Some Developed European Stock Markets – The Effects of Joining the European Union and the Global Financial Cri," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 163-180, December.
  3. David Büttner & Bernd Hayo, 2009. "News and Correlations of CEEC-3 Financial Markets," MAGKS Papers on Economics 200944, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  4. Kaminsky, Graciela & Lyons, Richard & Schmukler, Sergio, 2000. "Managers, investors, and crises : mutual fund strategies in emerging markets," Policy Research Working Paper Series 2399, The World Bank.
  5. Rigobon, Roberto, 2003. "On the measurement of the international propagation of shocks: is the transmission stable?," Journal of International Economics, Elsevier, vol. 61(2), pages 261-283, December.
  6. Khalid, Ahmed M. & Kawai, Masahiro, 2003. "Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model," Journal of Asian Economics, Elsevier, vol. 14(1), pages 131-156, February.
  7. Enrique Mendoza, 2002. "Why Should Emerging Economies Give Up National Currencies? A Case for Institutions Substitution," Research Department Publications 4309, Inter-American Development Bank, Research Department.
  8. Mollah, Sabur & Zafirov, Goran & Quoreshi, AMM Shahiduzzaman, 2014. "Financial Market Contagion during the Global Financial Crisis," CITR Working Paper Series 2014/05, Center for Innovation and Technology Research, Blekinge Institute of Technology.
  9. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2012. "Terrorism Induced Cross-Market Transmission of Shocks: A Case Study Using Intraday Data," Economics of Security Working Paper Series 66, DIW Berlin, German Institute for Economic Research.
  10. Roberto Rigobon & Dani Rodrik, 2004. "Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships," NBER Working Papers 10750, National Bureau of Economic Research, Inc.
  11. Serwa, Dobromil & Bohl, Martin T., 2005. "Financial contagion vulnerability and resistance: A comparison of European stock markets," Economic Systems, Elsevier, vol. 29(3), pages 344-362, September.
  12. de Jong, F.C.J.M. & de Roon, F.A., 2001. "Time Varying Market Integration and Expected Rteurns in Emerging Markets," Discussion Paper 2001-78, Tilburg University, Center for Economic Research.
  13. Bruinshoofd Allard & Candelon Bertrand & Raabe Katharina, 2005. "Banking Sector Strength and the Transmission of Currency Crises," Research Memorandum 023, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  14. Jarl G. Kallberg & Paolo Pasquariello, 2005. "An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets," The Journal of Business, University of Chicago Press, vol. 78(1), pages 169-212, January.
  15. Jokipii, Terhi & Lucey, Brian, 2007. "Contagion and interdependence: Measuring CEE banking sector co-movements," Economic Systems, Elsevier, vol. 31(1), pages 71-96, March.
  16. Eduardo Borensztein & Patricio Valenzuela & Kevin Cowan, 2007. "Sovereign Ceilings "Lite"? T+L3712he Impact of Sovereign Ratingson Corporate Ratings in Emerging Market Economies," IMF Working Papers 07/75, International Monetary Fund.
  17. Ramirez, Manuel & Martínez, Constanza, 2009. "International propagation of shocks: an evaluation of contagion effects for some Latin American countries," DOCUMENTOS DE TRABAJO 005789, UNIVERSIDAD DEL ROSARIO.
  18. Roberto Rigobon, 2001. "The Curse of Non-Investment Grade Countries," NBER Working Papers 8636, National Bureau of Economic Research, Inc.
  19. Urbina, Jilber, 2013. "Contagion or Interdependence in the recent Global Financial Crisis? An application to the stock markets using unconditional cross-market correlations," Working Papers 2072/211884, Universitat Rovira i Virgili, Department of Economics.
  20. Pretorius, Anmar & de Beer, Jesse, 2004. "Contagion in Africa: South Africa and a troubled neighbour, Zimbabwe," Economic Modelling, Elsevier, vol. 21(4), pages 703-717, July.
  21. Chouliaras, Andreas & Grammatikos, Theoharry, 2014. "Extreme Returns in the European Financial Crisis," MPRA Paper 58978, University Library of Munich, Germany.
  22. Lingfeng Li, 2003. "Macroeconomic Factors and the Correlation of Stock and Bond Returns," Yale School of Management Working Papers ysm328, Yale School of Management.
  23. Grodner, Andrew & Kniesner, Thomas J., 2007. "Labor Supply with Social Interactions: Econometric Estimates and Their Tax Policy Implications," IZA Discussion Papers 3034, Institute for the Study of Labor (IZA).
  24. Renee Fry & Vance Martin & Brenda González-Hermosillo & Mardi Dungey, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 02/74, International Monetary Fund.
  25. Aslanidis, Nektarios & Savva, Christos S., 2010. "Modelling Interbank Relations during the International Financial Crisis," Working Papers 2072/148475, Universitat Rovira i Virgili, Department of Economics.
  26. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
  27. Eric J. Friedman & Simon Johnson & A.S. Landsberg, . "The Emergence of Correlations in Studies of Global Economic Inter-dependence and Contagion," Claremont Colleges Working Papers 2002-35, Claremont Colleges.
  28. Fukuhara, Masahiro & Saruwatari, Yasufumi, 2003. "An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(2), pages 113-131, August.
  29. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  30. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
  31. Eduard Baumöhl & Mária Farkašovská & Tomáš Výrost, 2010. "Stock Market Integration: DCC MV-GARCH Model," Politická ekonomie, University of Economics, Prague, vol. 2010(4), pages 488-503.
  32. Terhi Jokipii & Brian Lucey, 2005. "CEE Banking Sector Co-Movement: Contagion or Interdependence?," The Institute for International Integration Studies Discussion Paper Series iiisdp077, IIIS.
  33. Kenneth A. Froot & Paul G. J. O'Connell, 2003. "The Risk Tolerance of International Investors," NBER Working Papers 10157, National Bureau of Economic Research, Inc.
  34. Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002 58, Society for Computational Economics.
  35. Bodart Vincent & Candelon Bertrand, 2005. "Evidences of Interdependence and Contagion using a Frequency Domain Framework," Research Memorandum 024, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  36. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Economics, Finance and Accounting Department Working Paper Series n1981108.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  37. Mohammad Karimi & Marcel-Cristian Voia, 2011. "Empirics of Currency Crises: A Duration Analysis Approach," Carleton Economic Papers 11-11, Carleton University, Department of Economics.
  38. Antonio Díez de los Ríos & Alicia García Herrero, 2003. "Contagion and portfolio shift in emerging countries' sovereign bonds," Banco de Espa�a Working Papers 0317, Banco de Espa�a.
  39. Matesanz, David & Ortega, Guillermo J., 2008. "Network analysis of exchange data: Interdependence drives crisis contagion," MPRA Paper 7720, University Library of Munich, Germany.
  40. Marie Briere & Ariane Szafarz, 2007. "Crisis-Robust Bond Portfolios," Working Papers CEB 07-030.RS, ULB -- Universite Libre de Bruxelles.
  41. Gordon de Brouwer, 2002. "The IMF and East Asia: A Changing Regional Financial Architecture," Asia Pacific Economic Papers 324, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University.
  42. Etkin Ozen & Cem Sahin & Ibrahim Unalmis, 2013. "External Financial Stress and External Financing Vulnerability in Turkey : Some Policy Implications for Financial Stability," Working Papers 1317, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  43. Onour, Ibrahim, 2008. "Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration," MPRA Paper 15187, University Library of Munich, Germany.
  44. Valentín Délano & Felipe Jaque, 2005. "Spreads Soberanos: ¿Diferencian los Inversionistas Internacionales entre Economías Emergentes?," Working Papers Central Bank of Chile 332, Central Bank of Chile.
  45. Ibrahim Onour, . "Financial Integration of North Africa Stock Markets," API-Working Paper Series 0908, Arab Planning Institute - Kuwait, Information Center.
  46. Chouliaras, Andreas & Grammatikos, Theoharry, 2013. "News Flow, Web Attention and Extreme Returns in the European Financial Crisis," MPRA Paper 51335, University Library of Munich, Germany.
  47. Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring sovereign contagion in Europe," Working Paper 2012/05, Norges Bank.
  48. Eduardo Borensztein & Kevin Cowan & Patricio Valenzuela, 2013. "Sovereign Ceilings “Lite”? The Impact of Sovereign Ratings on Corporate Ratings," Documentos de Trabajo 299, Centro de Economía Aplicada, Universidad de Chile.
  49. Lee, Ha Yan & Ricci, Luca Antonio & Rigobon, Roberto, 2004. "Once again, is openness good for growth?," Journal of Development Economics, Elsevier, vol. 75(2), pages 451-472, December.
  50. Rotta, Pedro Nielsen & Pereira, Pedro Luiz Valls, 2013. "Analysis of contagion from the constant conditional correlation model with Markov regime switching," Textos para discussão 340, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  51. Enrique Mendoza, 2002. "¿Por qué deben las economías emergentes renunciar a su moneda nacional? El argumento a favor," Research Department Publications 4310, Inter-American Development Bank, Research Department.
  52. Haile, Fasika & Pozo, Susan, 2008. "Currency crisis contagion and the identification of transmission channels," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 572-588, October.
  53. Andres Kuusk & Tiiu Paas, 2010. "Contagion Of Financial Crises With Special Emphasis On Cee Economies: A Metaanalysis," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 66, Faculty of Economics and Business Administration, University of Tartu (Estonia).
  54. Sanae Ohno, 2013. "European Sovereign Risk: The Knock-on Effects of Default Risk across the Public and Financial Sectors," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(1), pages 139-170, January.
  55. Jorge Carrera & Luis N. Lanteri, 2007. "Macroeconomic Shocks and Financial Vulnerability," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(48), pages 13-71, July - Se.
  56. Tillmann, Peter, 2004. "External shocks and the non-linear dynamics of Brady bond spreads in a regime-switching VAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 439-454, December.
  57. Jorge A. Chan-Lau & Iryna V. Ivaschenko, 2002. "Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia," IMF Working Papers 02/154, International Monetary Fund.
  58. Moser, Thomas, 2003. "What Is International Financial Contagion?," International Finance, Wiley Blackwell, vol. 6(2), pages 157-78, Summer.
  59. Ciccarelli, Matteo & Rebucci, Alessandro, 2003. "Measuring contagion with a Bayesian, time-varying coefficient model," Working Paper Series 0263, European Central Bank.
  60. Hon, Mark T. & Strauss, Jack K. & Yong, Soo-Keong, 2007. "Deconstructing the Nasdaq bubble: A look at contagion across international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 213-230, July.
  61. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management qt9178v9kq, Anderson Graduate School of Management, UCLA.
  62. Sébastien Wälti, 2003. "Contagion and interdependence among Central European economies: the impact of common external shocks," IHEID Working Papers 02-2003, Economics Section, The Graduate Institute of International Studies.
  63. Michael Chui & Simon Hall & Ashley Taylor, 2004. "Crisis spillovers in emerging market economies: interlinkages, vulnerabilities and investor behaviour," Bank of England working papers 212, Bank of England.
  64. Sébastien WÄLTI, 2003. "Testing for Contagion in International Financial Markets: Which Way to Go?," FAME Research Paper Series rp92, International Center for Financial Asset Management and Engineering.
  65. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".
  66. Daniel Kapp, 2012. "The optimal size of the European Stability Mechanism: A cost-benefit analysis," DNB Working Papers 349, Netherlands Central Bank, Research Department.
  67. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge.
  68. Sophie Brana & Delphine Lahet, 2005. "La propagation des crises financieres dans les pays emergents : la contagion est-elle discriminante ?," Economie Internationale, CEPII research center, issue 103, pages 73-96.
  69. repec:dgr:kubcen:2013077 is not listed on IDEAS
  70. Andres KUUSK & Tiiu Paas & Andres KUUSK, 2011. "Financial contagion of the 2008 crisis: is there any evidence of financial contagion from the US to the Baltic states," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 2, pages 61-76, December.
  71. Metiu Norbert, 2011. "Financial contagion in developed sovereign bond markets," Research Memorandum 004, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  72. Billio, Monica & Pelizzon, Loriana, 2003. "Contagion and interdependence in stock markets: Have they been misdiagnosed?," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 405-426.
  73. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.).
  74. Sergio Andenmatten & Felix Brill, 2011. "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften dp1104, Universitaet Bern, Departement Volkswirtschaft.
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