Contagion, Spillover, and Interdependence
Name
SSRN-id2910863.pdf
Description
Submitted version
Size
418.14 KB
Format
Adobe PDF
Checksum (MD5)
8792e49071354fd800c781eee407a22d
Author(s)
Rigobón, Roberto
Date Issued
2019
Journal
Economia
Publisher
Project Muse
Version
Original manuscript
Abstract
© 2019, Brookings Institution Press. All rights reserved. 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, produce time-varying biases. Several empirical methodologies are evaluated from this perspective: nonparametric techniques, such as correlations and principal components; and parametric methods, such as OLS, VAR, event studies, ARCH, and nonlinear regressions. The paper concludes that there is no single technique that can solve the full-fledged problem and discusses three methodologies that can partially address some of the questions in the literature.
MIT Department
Sloan School of Management
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1353/ECO.2019.0002
