Measuring Contagion: Conceptual and Empirical Issues

  • Kristin Forbes
  • Roberto Rigobon

Abstract

The 1990’s has been punctuated by a series of severe financial and currency crises: the Exchange Rate Mechanism (ERM) attacks of 1992; the Mexican peso collapse of 1994; the East Asian crisis of 1997; the Russian collapse of 1998; and the Brazilian devaluation of 1999. One striking characteristic of several of these crises was how an initial country-specific shock was rapidly transmitted to markets of very different sizes and structures around the globe. This has prompted a surge of interest in “contagion”.

Keywords

Stock Market Transmission Mechanism GARCH Model NBER Working Paper Empirical Issue 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2001

Authors and Affiliations

  • Kristin Forbes
    • 1
  • Roberto Rigobon
    • 1
  1. 1.Massachusetts Institute of Technology and NBERUSA

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