Hidden Bibliographic Details
| Other authors / contributors: | Rebucci, Alessandro, author.
International Monetary Fund. Research Department.
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| ISBN: | 1451903774
9781451903775
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| Notes: | Includes bibliographical references (pages 26-27).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from structural breaks and can be used to investigate positive as well as negative contagion. The proposed measure appears to work well using both simulated and actual data.
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| Other form: | Print version: Ciccarelli, Matteo. Measuring contagion with a Bayesian time-varying coefficient model. Washington, D.C. : International Monetary Fund, ©2003
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| Standard no.: | 10.5089/9781451903775.001
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