Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154408
Authors: 
Rigobon, Roberto
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1975
Abstract: 
This paper reviews the empirical literature on international spillovers and contagion. Theoretical models of spillover and contagion imply that the reduced form observable variables suffer from two possible sources of bias: endogeneity and omitted variables. These econometric problems in combination with the heteroskedasticity that plagues the data produces time varying biases. Several empirical methodologies are evaluated from this perspective: non-parametric techniques such as correlations and principal components, as well as parametric methods such as OLS, VAR, event studies, ARCH, Non-linear regressions, etc. The paper concludes that there is no single technique that can solve the full fledge problem and discusses three methodologies that can partially address some of the questions in the literature.
Subjects: 
contagion
heteroskedasticity
identification
JEL: 
C30
F32
C10
Document Type: 
Working Paper

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