Description

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate testing, endogeneity issues, and structural breaks.

Taxonomy

Financial crisis , Foreign exchange , International financial system

More publications in this series: Working Papers

More publications by: Mardi Dungey ; Renee Fry ; Vance Martin ; Brenda Gonzalez-Hermosillo