search query: @indexterm INTERNATIONAL ECONOMICS / total: 437
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| Author: | Rigobon, R. |
| Title: | On the measurement of the international propagation of shocks: is the transmission stable? |
| Journal: | Journal of International Economics
2003 : DEC, VOL. 61:2, p. 261-283 |
| Index terms: | Economic shocks Financial crises International economics Stock markets |
| Freeterms: | Contagion |
| Language: | eng |
| Abstract: | Mainly two questions are the focus in the empirical literature on "contagion": 1) What are the channels through which shocks are transmitted across countries, macro similarities, financial weaknesses or investor behaviour? and 2) Is there a shift in the transmission of shocks during crises? Are crises spread with higher intensity? If so, why? This article concentrates on the econometric problems that arise in dealing with the second question. The data where most of these issues are raised are plagued with problems of simultaneous equations, omitted variables and heteroskedasticity. |
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