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01375nam a2200169Ia 4500 |
| 001 |
10.1353-eco.2019.0002 |
| 008 |
220511s2019 CNT 000 0 und d |
| 020 |
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|a 15297470 (ISSN)
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| 245 |
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|a Contagion, spillover, and interdependence
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| 260 |
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|b Brookings Institution Press
|c 2019
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| 856 |
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|z View Fulltext in Publisher
|u https://doi.org/10.1353/eco.2019.0002
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|a This paper reviews the empirical literature on international spillovers and contagion. Theoretical models of spillover and contagion imply that the reduced-form observable variables suffer from two possible sources of bias: endogeneity and omitted variables. These econometric problems, in combination with the heteroskedasticity that plagues the data, produce time-varying biases. Several empirical methodologies are evaluated from this perspective: nonparametric techniques, such as correlations and principal components; and parametric methods, such as OLS, VAR, event studies, ARCH, and nonlinear regressions. The paper concludes that there is no single technique that can solve the full-fledged problem and discusses three methodologies that can partially address some of the questions in the literature. © 2019, Brookings Institution Press. All rights reserved.
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|a Contagion
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| 650 |
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|a Heteroskedasticity
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| 650 |
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|a Identification
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| 700 |
1 |
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|a Rigobón, R.
|e author
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| 773 |
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|t Economia
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