Testing for contagion in economic literature

Journal of Governance and Regulation

article

Ceren Kocabas¹ 

[1] Akdeniz University, Dumlupınar Boulevard, 07058 Campus

关键词: Contagion;    Financial Contagion;    Economic Crises;    Economic Globalization;   

DOI  :  10.22495/jgr_v8_i3_p3

学科分类：社会科学、人文和艺术（综合）

来源: Virtus Interpress

【 摘 要 】

The contagion of the financial crisis is an unavoidable fact for the economies of the global system anymore. Therefore measuring contagion, analyzing the propagation of volatility across countries became mainly important research topics among economists. There are many different econometric techniques used to test for contagion effect of financial crises. Transmission of shocks from one country to another can be calculated with four different techniques. The empirical literature mostly based on the techniques of measuring cross-market correlations, GARCH models, cointegration and probit models. In these models, economists use financial or real indicators or both of them in their analyses. As the financial indicators, they generally use share price indices, interest rates, exchange rates, and inflation rate. As the real indicators, they generally use the values of GDP, imports, exports, unemployment rate, etc. The aim of this paper is to underline the prominent empirical studies in the field of contagious crises.

【 授权许可】

CC BY-NC