shocks (“monsoons”), or contagion from neighboring countries. Markov-switching models attribute speculative pressure on … Indonesia’s currency to domestic political and financial factors and contagion from speculative pressures in Thailand and Korea … probabilities improves the conditional probabilities of crisis in Indonesia. There is also evidence of contagion in the stock market. …

contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not … require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from … structural breaks and can be used to investigate positive as well as negative contagion. The proposed measure appears to work …

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial …

of serial correlation in the context of panel probit regressions. This paper documents the magnitude of the problem …

This paper proposes a new measure of contagion that is good at anticipating future vulnerabilities. Building on … previous work, it uses correlations of equity markets across countries to measure contagion, but in a departure from previous … practice it measures contagion using the relationship of these correlations with distance. Also in contrast to previous work …

This paper discusses a "pure" form of financial contagion, unrelated to economic fundamentals - investors' shifting … contagion and domestic fundamentals as the immediate source of a crisis. Daily measures of risk appetite are computed and their …