To measure contagion empirically, we propose using a Bayesian time-varying coeﬃcient model estimated with Markov ChainMonte Carlo methods. 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. It can be used to investigate positive as well as negative contagion. The proposed measure appears to work well using both simulated and actual data.