Nnforbes and rigobon 2002 pdf files

As in forbes and rigobon 2002, we carry out parameter stability tests based on conditional correlation analysis which correct for three types of bias, resulting. It begins with a discussion of several conceptual issues involved in measuring these. The impact of monetary policy on asset prices, journal of monetary economics, elsevier, vol. To detect jumps in unexpected returns, i use a percentile threshold for each countrys stock index. If in crisis times volatility increases, this causes that by statistical definition the correlation increases even if fundamental crosscountry linkages do not change. Forbes and roberto rigobon abstract heteroskedasticity biases tests for contagion based on correlation coefficients. Daniele bianchi monica billio roberto casarin massimo guidolin abstract we model contagion in. Shortterm money market interest rates included in this study are federal fund overnight rate for the united states and its equivalences for other economies. Pdf an alternative interpretation of the resource curse. Contagion, spillover and interdependence european central bank. Roberto rigobon is the society of sloan fellows professor of management and a professor of applied economics at the mit sloan school of management. Forbes and rigobon are both from the sloan school of.

Modeling contagion and systemic risk aarhus universitet. Forbes and rigobon 2002 move further into this direction. Measuring stock market contagion with an application to the. Rigobon procedures to remove heteroscedasticity bias when. When contagion is defined as a significant increase in market comovement after a shock. We propose an alternative mechanism and study its policy implications. Measuring stock market comovements 2002, joint with roberto rigobon. The existence of a natural resource curse has been a longstanding theme in the economic literature and in policy discussions. Forbes and rigobon 2002 move further into this direction and raise the issue that higher correlations might only go back to more volatile markets.