文章基本信息

标题：Contagion, spillover and interdependence
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作者：Roberto Rigobon
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：This paper reviews the empirical literature on international spillovers and contagion. Theoreticalmodels of spillover and contagion imply that the reduced form observable variables suffer from two possi-ble sources of bias: endogeneity and omitted variables. These econometric problems in combination withthe heteroskedasticity that plagues the data produces time varying biases. Several empirical methodolo-gies are evaluated from this perspective: non-parametric techniques such as correlations and principalcomponents, as well as parametric methods such as OLS, VAR, event studies, ARCH, Non-linear regres-sions, etc. The paper concludes that there is no single technique that can solve the full fledge problemand discusses three methodologies that can partially address some of the questions in the literature.
关键词：Identification; Heteroskedasticity; Contagion