On the measurement of the international propagation of shocks: Is the transmission stable?

Journal of International Economics

Volumn 61, Issue 2, 2003, Pages 261-283

  Rigobon, Roberto ^a  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Contagion; International financial markets; Measuring the transmission mechanism; Stock market crises

Indexed keywords

ECONOMIC INSTABILITY; FINANCIAL CRISIS; FINANCIAL MARKET; GLOBAL PERSPECTIVE; STOCK MARKET;

EID: 0141907829     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0022-1996(03)00007-2     Document Type: Article

References (26)

1. Baig, T., Goldfajn, I., 1998. Financial markets contagion in the asian crises. IMF Mimeo.
2. Baig, T., Goldfajn, I., 2000. The russian default and the contagion to brazil. Universidade Catolica, Mimeo.
3. Boyer, B.H., Gibson, M.S., Loretan, M., 1999. Pitfalls in tests for changes in correlations. Federal Reserve Board IFS Discussion Paper No. 597R.
4. Calvo, G., 1999. Contagion in emerging markets: When wall street is a carrier. University of Maryland, Mimeo.
5. Calvo, S., Reinhart, C., 1995. Capital inflows to latin america: is there evidence of contagion effects. Mimeo. World Bank and International Monetary Fund.
6. Chari, V., Kehoe, P., 1999. Herds of hot money. Federal Reserve Bank of Minneapolis Research Department, Mimeo.
7. Connolly, R.A., Wang, F.A., 2000. On stock market return co-movements: Macroeconomic news, dispersion of beliefs, and contagion. University of North Carolina, Mimeo.
8. DeGregorio, J., Valdes, R., 2000. Crisis transmission: Evidence from the debt, tequila, and asian flu crises. Universidad Catolica, Chile, Mimeo.
9. Eichengreen, B., Rose, A., Wyplosz, C., 1996. Contagious currency crises. NBER working Paper 5681.
10. Favero, C., Giavazzi, F., 2000. Looking for contagion: Evidence from the 1992 ERM crisis. Bocconi University, Mimeo.
11. Forbes K.Rigobon R.No contagion, only interdependence: measuring stock market co-movements Journal of Finance 575 2002 2223-2261
12. Froot, K., O'Connell, P., Seasholes, M., 1998. The portfolio flows of international investors. Harvard Business School, Mimeo.
13. Gelos, G., Sahay, R., 2000. Financial markets spillovers in transition economies. IMF, Mimeo.
14. Glick, R., Rose, A., 1998. Contagion and trade: why are currency crises regional? Mimeo.
15. Goldstein, M., Kaminsky, G., Reinhart, C., 2000. Assessing Financial Vulnerability: An Early Warning System for Emerging Markets. Institute for International Economics.
16. Kaminsky, G., Reinhart, C., 2000. The center and the periphery: tales of financial turmoil. GWU, Mimeo.
17. King M.Wadhwani S.Transmission of volatility between stock markets Review of Financial Studies 31 1990 5-33
18. Loretan, M., English, W.B., 2000. Evaluation 'correlation breakdowns' during periods of market volatility. Federal Reserve Board, Mimeo.
19. xPanageas, S., Rigobon, R., 2002. Contagious effects of portfolio insurance. MIT Mimeo.
20. Rigobon, R., 1998. Informational speculative attacks: good news is no news. Mimeo, MIT.
21. Rigobon, R., 2000. A simple test for the stability of linear models under heteroskedasticity, omitted variable, and endogneous variable problems. MIT Mimeo: http://web.mit.edu/regobon/www/.
22. Rigobon R.Contagion: How to measure it Edwards S. Frankel J. Preventing Currency Crises in Emerging Markets 2001 University of Chicago PressChicago, IL
23. Rigobon, R., 2003. Identification through heteroskedasticity. Review of Economics and Statistics, forthcoming.
24. Ronn, E., 1998. The impact of large changes in asset prices on intra-market correlations in the stock and bond markets. Mimeo.
25. Sentana, X., Fiorentini, G., 2001. Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models, with G. Fiorentini, Journal of Econometrics 102 (2), 143-164, June 2001.
26. Stulz, R., 1999. International portfolio flows and security markets. The Charles A. Dice Center for Research in Financial Economics, WP 99-3.