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On the Measurement of the International Propagation of Shocks

Rigobon, Roberto - 1999

In this paper I offer an alternative identification assumption that allows one to test for changing patterns regarding the international propagation of shocks when endogenous variables, omitted variables, and heteroskedasticity are present in the data. Using this methodology, I demonstrate that...

Persistent link: https://www.econbiz.de/10012471430

No Contagion, Only Interdependence : Measuring Stock Market Co-movements

Forbes, Kristin - 1999

This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure...

Persistent link: https://www.econbiz.de/10012471523

Using Heteroscedasticity to Estimate the Returns to Education

Hogan, Vincent - 2002

We apply a new estimator to the measurement of the economic returns to education. We control for endogenous education …, unobserved ability and measurement error using only the natural heteroscedasticty of wages and education attainment. Our prefered … that use IV. Our results indicate that the biases generated by unobserved ability and measurement error tend to cancel each …

Persistent link: https://www.econbiz.de/10012469564

Contagion : How to Measure It?

Rigobon, Roberto - 2001

The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock markets, interest rates, and exchange rates. Several methodologies have been used for this purpose, however, the properties of the data introduces important limitations on the...

Persistent link: https://www.econbiz.de/10012470611

Contagion in Latin America : Definitions, Measurement, and Policy Implications

Forbes, Kristin - 2000

This paper analyzes bond and stock markets in Latin America and uses these patterns to investigate whether contagion occurred in the 1990's. It defines shift-contagion' as a significant increase in cross-market linkages after a shock to one country or region. Several coin-toss examples and a...

Persistent link: https://www.econbiz.de/10012470852

The Billion Prices Project : Using Online Prices for Measurement and Research

Cavallo, Alberto - 2016

lessons for both inflation measurement and some fundamental research questions in macro and international economics. In … particular, we show how online prices can be used to construct daily price indexes in multiple countries and to avoid measurement …

Persistent link: https://www.econbiz.de/10012456563

Measuring Sovereign Contagion in Europe

Caporin, Massimiliano - 2013

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that...

Persistent link: https://www.econbiz.de/10012459921