MEASURING CONTAGION WITH A BAYESIAN TIME-VARYING COEFFICIENT MODEL

We propose to use a time-varying coefficient model to measure contagion. The proposed measure works in the joint presence of heteroskedasticity and omitted variables. It requires knowledge of the source of the crisis but not its timing. The estimation procedure is Bayesian and is based on Markov Chain Monte Carlo methods. We asses the performance of the proposed measure both with simulated and actual data.

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Year of publication:	2003-06
Authors:	Rebucci, Alessandro
Institutions:	Instituto Valenciano de Investigaciones Económicas (IVIE)
Subject:	Contagion \| Gibbs sampling \| heteroskedasticity \| omitted variable

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Extent:	application/pdf
Series:	Working Papers. Serie AD.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published by Ivie 35 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005515905