Identifying contagion: A unifying approach

摘要: Abstract We propose a new approach to identify financial contagion. Our method accounts for possible trends in market linkages, and allows description of the contagion process over crisis period. Results sample 25 stock markets show that impact 2007–9 on domestic from shocks originating US was largely heterogeneous. Markets are found experience differently, regardless whether these effects be contagious. Contagion also less common than could expected based more commonly employed model, which assumes constant interdependencies within subperiods.