Rigobón, Roberto (2019) Contagion, spillover, and interdependence. Economía, 19 (2). 69 - 99. ISSN 1529-7470
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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, 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.
Item Type: | Article |
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Official URL: | https://economia.lse.ac.uk/ |
Additional Information: | © 2019 LACTEA |
Divisions: | LSE |
Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
JEL classification: | C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C30 - General F - International Economics > F3 - International Finance > F32 - Current Account Adjustment; Short-Term Capital Movements C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C10 - General |
Date Deposited: | 03 Jul 2024 15:54 |
Last Modified: | 05 Dec 2024 00:48 |
URI: | http://eprints.lse.ac.uk/id/eprint/123173 |
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