Testing for Contagion in Economic Literature

Journal of Governance and Regulation / Volume 8, Issue 3, 2019

5 Pages Posted: 30 Jul 2019

Date Written: July 24, 2019

Abstract

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.

Keywords: Contagion, Financial Contagion, Economic Crises, Economic Globalization

JEL Classification: F30, F60, F65, G1

Suggested Citation

Kocabaş, Ceren, Testing for Contagion in Economic Literature (July 24, 2019). Journal of Governance and Regulation / Volume 8, Issue 3, 2019, Available at SSRN: https://ssrn.com/abstract=3427083

Ceren Kocabaş (Contact Author)

Akdeniz University ( email )

Antalya, Kampus
Turkey

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
76
Abstract Views
389
Rank
567,594
PlumX Metrics