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Citations for "Contagion: How to Measure It?"

by Roberto Rigobon

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  1. Eduardo Borensztein & Patricio Valenzuela & Kevin Cowan, 2007. "Sovereign Ceilings “Lite� The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies," IMF Working Papers 07/75, International Monetary Fund.
  2. 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).
  3. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
  4. 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.
  5. Mohammad Karimi & Marcel-Cristian Voia, 2011. "Empirics of Currency Crises: A Duration Analysis Approach," Carleton Economic Papers 11-11, Carleton University, Department of Economics.
  6. Rigobon, Roberto & Rodrik, Dani, 2004. "Rule of Law, Democracy, Openness and Income: Estimating the Interrelationships," CEPR Discussion Papers 4653, C.E.P.R. Discussion Papers.
  7. International Monetary Fund, 2004. "Once Again, is Openness Good for Growth?," IMF Working Papers 04/135, International Monetary Fund.
  8. Enrique G. Mendoza, 2002. "Why Should Emerging Economies Give up National Currencies: A Case for 'Institutions Substitution'," NBER Working Papers 8950, National Bureau of Economic Research, Inc.
  9. 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".
  10. Korhonen Marko, 2015. "The Relation between National Stock Prices and Effective Exchange Rates: Does It Affect Exchange Rate Exposure?," Global Economy Journal, De Gruyter, vol. 15(2), pages 241-256, July.
  11. 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.
  12. Marie Briere & Ariane Szafarz, 2007. "Crisis-Robust Bond Portfolios," Working Papers CEB 07-030.RS, ULB -- Universite Libre de Bruxelles.
  13. Onour, Ibrahim, 2008. "Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration," MPRA Paper 15187, University Library of Munich, Germany.
  14. 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.
  15. Moser, Thomas, 2003. "What Is International Financial Contagion?," International Finance, Wiley Blackwell, vol. 6(2), pages 157-78, Summer.
  16. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  17. 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).
  18. 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.
  19. de Jong, Frank & de Roon, Frans, 2001. "Time-Varying Market Integration and Expected Returns in Emerging Markets," CEPR Discussion Papers 3102, C.E.P.R. Discussion Papers.
  20. Gravelle, Toni & Kichian, Maral & Morley, James, 2006. "Detecting shift-contagion in currency and bond markets," Journal of International Economics, Elsevier, vol. 68(2), pages 409-423, March.
  21. Alessandro Rebucci & Matteo Ciccarelli, 2003. "Measuring Contagion with a Bayesian Time-Varying Coefficient Model," IMF Working Papers 03/171, International Monetary Fund.
  22. Ibrahim Onour, . "Financial Integration of North Africa Stock Markets," API-Working Paper Series 0908, Arab Planning Institute - Kuwait, Information Center.
  23. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.).
  24. 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.
  25. 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.
  26. 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.
  27. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  28. 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.
  29. David Matesanz & Guillermo Ortega, 2014. "Network analysis of exchange data: interdependence drives crisis contagion," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 1835-1851, July.
  30. 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.
  31. 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.
  32. 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.
  33. Murad A.Bein & Gulcay TUNA, 2015. "Volatility Transmission and Dynamic Correlation Analysis between Developed and Emerging European Stock Markets during Sovereign Debt Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 61-80, June.
  34. 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.
  35. 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.
  36. 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.
  37. Ahmet Sensoy & Kevser Ozturk & Erk Hacihasanoglu & Benjamin M. Tabak, 2015. "Not all emerging markets are the same: A classification approach with correlation based networks," Working Paper 26, Research and Business Development Department, Borsa Istanbul.
  38. Jokipii , Terhi & Lucey, Brian, 2006. "Contagion and interdependence: measuring CEE banking sector co-movements," Research Discussion Papers 15/2006, Bank of Finland.
  39. 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.
  40. 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.
  41. 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.
  42. Borensztein, Eduardo & Cowan, Kevin & Valenzuela, Patricio, 2013. "Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4014-4024.
  43. 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.
  44. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge.
  45. 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.
  46. 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.
  47. Kaminsky, Graciela & Lyons, Richard K. & Schmukler, Sergio L., 2004. "Managers, investors, and crises: mutual fund strategies in emerging markets," Journal of International Economics, Elsevier, vol. 64(1), pages 113-134, October.
  48. 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.
  49. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
  50. 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.
  51. 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.
  52. 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).
  53. 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.
  54. Andrew Grodner & Thomas Kniesner, 2005. "Labor Supply with Social Interactions: Econometric Estimates and Their Tax Policy Implications," Center for Policy Research Working Papers 69, Center for Policy Research, Maxwell School, Syracuse University.
  55. Constanza Martinez & Manuel Ramirez, 2011. "International propagation of shocks: an evaluation of contagion effects for some Latin American countries," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 4(2), pages 213-233, December.
  56. Sébastien Wälti, 2003. "Testing for contagion in international financial markets: which way to go?," IHEID Working Papers 04-2003, Economics Section, The Graduate Institute of International Studies.
  57. 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.
  58. Sergio Andenmatten & Felix Brill, 2011. "Measuring Co-Movements of CDS Premia during the Greek Debt Crisis," Diskussionsschriften dp1104, Universitaet Bern, Departement Volkswirtschaft.
  59. Mahua Barari & Brian Lucey & Svitlana Voronkova, 2005. "CEE Banking Sector Co-Movement: Contagion or Interdependence?," The Institute for International Integration Studies Discussion Paper Series iiisdp078, IIIS.
  60. 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.
  61. Titelman Kardonsky, Daniel & Pérez Caldentey, Esteban & Pineda Salazar, Ramón, 2009. "The bigness of smallness: the financial crisis, its contagion mechanisms and its effects in Latin America," Revista CEPAL, United Nations Economic Commission for Latin America and the Caribbean (ECLAC), December.
  62. 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.
  63. 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.
  64. Filip Iorgulescu, 2015. "Contagion and Market Interdependence during the Global Financial Crisis," Central European Business Review, University of Economics, Prague, vol. 2015(2), pages 31-39.
  65. 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.
  66. Rigobon, Roberto, 2002. "The curse of non-investment grade countries," Journal of Development Economics, Elsevier, vol. 69(2), pages 423-449, December.
  67. Daniel Kapp, 2012. "The optimal size of the European Stability Mechanism: A cost-benefit analysis," DNB Working Papers 349, Netherlands Central Bank, Research Department.
  68. 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.
  69. 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).
  70. 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.
  71. 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).
  72. 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).
  73. 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.
  74. 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.
  75. Chouliaras, Andreas & Grammatikos, Theoharry, 2014. "Extreme Returns in the European Financial Crisis," MPRA Paper 58978, University Library of Munich, Germany.
  76. 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.
  77. Lingfeng Li, 2003. "Macroeconomic Factors and the Correlation of Stock and Bond Returns," Yale School of Management Working Papers ysm328, Yale School of Management.
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