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Empirical Modeling of Contagion: A Review of Methodologies

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  • Mr. Mardi Dungey
  • Ms. Renee Fry
  • Mr. Vance Martin
  • Ms. Brenda Gonzalez-Hermosillo

Abstract

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.

Suggested Citation

  • Mr. Mardi Dungey & Ms. Renee Fry & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo, 2004. "Empirical Modeling of Contagion: A Review of Methodologies," IMF Working Papers 2004/078, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2004/078
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    More about this item

    Keywords

    WP; disp-formula id; regression equation; least squares;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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