Contagion, Spillover, and Interdependence.
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 combinatio...
| Publicado en: | Economía Vol. 19; no. 2; pp. 69 - 100 |
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| Formato: | Artículo |
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London School of Economics & Political Science
Spring2019
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=138629484&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 138629484 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 15297470 N8H jtl: Economía issn: 15297470 maglogo: N pubinfo: dt: Spring2019 vid: 19 iid: 2 pid: 66142 pub: London School of Economics & Political Science artinfo: ui: 138629484 10.1353/eco.2019.0002 ppf: 69 ppct: 31 formats: fmt: @attributes: type: P size: 1.4MB tig: atl: Contagion, Spillover, and Interdependence. aug: au: RIGOBÓN, ROBERTO affil: Massachusetts Institute of Technology su: Nonlinear regression Heteroscedasticity sug: subj: Nonlinear regression Heteroscedasticity keyword: contagion heteroskedasticity Identification contagion heteroskedasticity Identification ab: 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. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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