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|c 5.00 USD
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|z 9781451858525
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|a 1018-5941
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|a BD-DhAAL
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|a Rebucci, Alessandro.
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|a Measuring Contagion with a Bayesian Time-Varying Coefficient Model /
|c Alessandro Rebucci, Matteo Ciccarelli.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2003.
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| 300 |
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|a 1 online resource (32 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure 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 well using both simulated and actual data.
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|a Mode of access: Internet
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|a Ciccarelli, Matteo.
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|a IMF Working Papers; Working Paper ;
|v No. 2003/171
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2003/171/001.2003.issue-171-en.xml
|z IMF e-Library
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