Measuring Contagion: Conceptual and Empirical Issues

By Kristin J. Forbes, Roberto Rigobon. 2001

523 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4cacb406c9e830086da6a15b7db06466f3cf078e

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Citations in the corpus

Effects of Financial Globalization on Developing Countries: Some Empirical Evidence (2003, background): “Boyer, Gibson, and Loretan (1999), and Forbes and Rigobon (2001) argue that the evidence for pure contagion against the alternative of fundamentals-based contagion is very weak.”
Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, unknown): “5 Forbes and Rigobon (2002) criticized the mainstream approach to measuring financial contagion as a comparison of the correlation between stock markets during the stable period to that during the crisis.”
Trade and Financial Contagion in Currency Crises (2000, background): “Moreover, Rigobon (1998) and Forbes and Rigobon (1999) argue that there is little evidence that the propagation mechanisms between markets differ in tranquil and crisis periods: the 6 The role of financial linkages in contagion has also been explored, inter alia, by IMF (1999), Baig and Goldfajn…”
Dynamical Hierarchical Tree in Currency Markets (2007, unknown): “Electronic copy available at: http://ssrn.com/abstract=963773Electronic copy of this p per is available at: http://ssrn.com/abstract=963773 Keywords : Symbolic Time Series Analysis; real exchange rate; hierarchical tree JEL classification : C10, C14, F31,”
Time-Series and Cross-Sectional Excess Comovement in Stock Indexes (2008, unknown): “Yet, according to Forbes and Rigobon (2002), the proposed estimates for unconditional correlation are fairly accurate when assets are “closely connected” (p.”
Testing For Contagion: A Conditional Correlation Analysis (2005, methodology): “, Forbes and Rigobon, 1999, and Corsetti et al, 2001). Recently, Rigobon (2004) has pointed out that tests for contagion based on conditional correlation analysis have serious limitations.”
A Primer on Financial Contagion (2003, unknown): “An empirical study of the transmission of shocks across financial markets with a generalized autoregressive conditional heteroskedastic (GARCH) model has been proposed by Hamao et al. (1990), who analyze the transmission of volatility after the stock market crash of October 1987.”