shocks. We first review the different definitions and measures of contagion used in the literature. We then use a simple … multi-country asset pricing model to cast the main elements of the current debate on contagion and provide a stylized … account of how a crisis in one country can spread to the world economy. In particular, the model shows how crises can be …

This paper presents a general test of contagion in financial markets based on bivariate correlation analysis � a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … hypothesis of 'no contagion' can be rejected only if the variance of country specific shocks is set to levels that are not …