On the measurement of the international propagation of shocks: is the transmission stable?

By Roberto Rigobon. 2003

250 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a0a9c9fc67954ab419a007b4f5bb1e58b13f4086

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Citations in the corpus

Cross-Border Bank Contagion in Europe (2012, unknown): “Moermann (2004), Measurement of Contagion in Bank Equity Prices, Journal of International Money and Finance 23, pp. 405-459. Gropp, R., J. Vesala and G. Vulpes (2004), Market Indicators, Bank Fragility and Indirect Market Discipline, Federal Reserve Bank of New York Policy Review 10 (2), pp.”
Monetary Policy in Emerging Markets (2010, background): “46 Rogoff (1985) may be the best reference for the familiar point that the choice of nominal target ex ante makes a big difference in the presence of ex post shocks.”
Testing For Contagion: A Conditional Correlation Analysis (2005, methodology): “They are opposite to the ones reported by Baig and Goldfain (1998) and Forbes and Rigobon (2001), but in line with the evidence presented in Rigobon (2001) and Park and Song (2001).16 Specifically, we find that, in most cases, contagion starts occurring at the time of the Hong Kong stock market…”
Empirical Modeling of Contagion (2004, unknown): “Interestingly, Rigobon (2003b) notes that the volatility adjustment in performing the test in equation (24) is incorrect in the presence of simultaneity bias.”
Financial Contagion on the International Trade Network (2010, unknown): “Rigobon (2003) and Glick and Rose (1998) base their studies on non-overlapping crises windows in order to prevent, to the extent possible, the analysis from being " contaminated " by continuous turmoil in …nancial markets.”
The Role of Portfolio Constraints in the International Propagation of Shocks (2008, background): “…based on reduced-form linear latent factor models, see e.g., Corsetti, Pericoli, and Sbracia (2005), Dungey, Fry, González-Hermosillo, and Martin (2005), and Rigobon (2003), and for that based on the copula approach, see e.g., Hartmann, Straetmans, and de Vries (2004) and Rodriguez (2007).”
Measuring Sovereign Contagion in Europe (2014, unknown): “The problem 5In addition, as indicated by Rigobon (2003) the adjustment in Forbes and Rigobon (2002) requires that the variables not suffer from omitted variables or endogeneity bias. with these regressions is that they impose too much structure and might be underestimating the transmission of…”
Systemic Risk and International Portfolio Choice (2004, unknown): “Other events with large correlated price drops include the Debt crisis of 1982, the Mexican crisis in December 1994, and the Russian crisis in August 1998; see Rigobon (2003) for a complete list of dates with large market moves.”