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dc.contributor.authorPesaran, M. Hashemen_GB
dc.date.accessioned2004-06-16T16:05:37Z
dc.date.available2004-06-16T16:05:37Z
dc.date.created2004-01en_GB
dc.date.issued2004-06-16T16:05:37Z
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/381
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/381
dc.description.abstractThis paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion can be distinguished from inter-dependence. In a two-country (market) set-up it is shown that for a range of fundamentals the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation properties with bimodel density functions. The extension of the model to herding behaviour is also briefly discussed. To identify contagion effects in the presence of inter-dependencies the equations for individual markets or countries must contain country (market) specific forcing variables. This sheds doubt on the general validity of the correlation based tests of contagions recently proposed in the literature which do not involve any country (market) specific fundamentals. We show that ignoring inter-dependence can introduce an upward bias in the estimate of the contagion coefficient, and using Monte Carlo experiments we show that this could be substantial.en_GB
dc.format.extent584790 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.language.isoen_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subject.classificationClassification-JEL: C10, C123, G10, G15en_GB
dc.subject.othercontagion, inter-dependence, identification, financial crisesen_GB
dc.titleEconometric Issues in the Analysis of Contagionen_GB
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5013


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