Contagion, Spillover, and Interdependence

Roberto Rigobon

Economía Journal, 2019, vol. Volume 19 Number 2, issue Spring 2019, 69-99

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.

Keywords: Identification; heteroskedasticity; contagion (search for similar items in EconPapers)
JEL-codes: C10 C30 F32 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (13)

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Related works:
Working Paper: Contagion, spillover and interdependence (2016)
Working Paper: Contagion, spillover and interdependence (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000425:017277

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