dc.creatorRibeiro, ALP
dc.creatorHotta, LK
dc.date2013
dc.dateSEP
dc.date2014-07-30T13:48:30Z
dc.date2015-11-26T17:58:05Z
dc.date2014-07-30T13:48:30Z
dc.date2015-11-26T17:58:05Z
dc.date.accessioned2018-03-29T00:41:39Z
dc.date.available2018-03-29T00:41:39Z
dc.identifierInternational Review Of Financial Analysis. Elsevier Science Inc, v. 29, n. 62, n. 69, 2013.
dc.identifier1057-5219
dc.identifierWOS:000324352100007
dc.identifier10.1015/j.irfa.2013.03.014
dc.identifierhttp://www.repositorio.unicamp.br/jspui/handle/REPOSIP/54301
dc.identifierhttp://repositorio.unicamp.br/jspui/handle/REPOSIP/54301
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1291653
dc.descriptionUnderstanding the dependence among economies is relevant to policy makers, central banks and investors in the decision-making process. One important issue for study is the existence of contagion among economies. This work considers the Canonical Model of Contagion by Pesaran and Pick (Journal of Economic Dynamics and Control, 2007), which differentiates contagion from interdependence. The ordinary least squares estimator of this model is biased by the endogenous variables in the model. In this study, instrumental variables are used to decrease the bias of the ordinary least squares estimator. The model is extended to the case of heteroskedastic errors, features that are generally found in financial data. We postulate the conditional volatility of the performance indices as instrumental variables and analyze the validity of these instruments using Monte Carlo simulations. Monte Carlo simulations estimate the distributions of the estimators under the null hypothesis. Finally, the canonical model of contagion is used to analyze the contagion among seven Asian countries. (C) 2013 Elsevier Inc. All rights reserved.
dc.description29
dc.description62
dc.description69
dc.languageen
dc.publisherElsevier Science Inc
dc.publisherNew York
dc.publisherEUA
dc.relationInternational Review Of Financial Analysis
dc.relationInt. Rev. Financ. Anal.
dc.rightsfechado
dc.rightshttp://www.elsevier.com/about/open-access/open-access-policies/article-posting-policy
dc.sourceWeb of Science
dc.subjectInstrumental variables
dc.subjectContagion and interdependence
dc.subjectHeteroskedasticity in the canonical contagion model
dc.subjectInstrumental Variables
dc.subjectWeak-instruments
dc.subjectInterdependence
dc.subjectSpecification
dc.subjectCrises
dc.subjectRatio
dc.titleAn analysis of contagion among Asian countries using the canonical model of contagion
dc.typeArtículos de revistas


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