Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion |
Common terms and phrases
accept the null Appendix asset prices asset returns assumption auctions averages of returns Banca d'Italia Bank of Italy bias bivariate normally distributed Boyer CEPR Claessens common factor comovements correlation coefficient Corsetti country-specific factors country-specific noise country-specific shocks covariance crisis in country crisis originates crisis periods cross-market links data-generating process denote Email evidence of contagion factor loadings factor model Financial Contagion Fisher test Forbes and Rigobon homoskedastic Hong Kong stock hypothesis of interdependence idiosyncratic increase Kong stock market Loretan and English measure of interdependence multivariate normal distributions normally distributed null hypothesis null of interdependence Paul Klemperer Philippines rates of return reject interdependence return in country Singapore sixth column statistic stock market crisis stock market index stock market returns structural break test rejects testing for contagion threshold tranquil and crisis tranquil period transmission mechanism two-day rolling averages Var(f Var(r world stock market