A New Approach to Measuring Financial Contagion
提出一种新方法衡量金融市场中的传染效应，用多项逻辑回归模型分析1990年代新兴市场日回报数据，发现传染可预测且受区域利率、汇率变化和条件波动率影响。
This article proposes a new approach to evaluate contagion in financial markets. Our measure of contagion captures the coincidence of extreme return shocks across countries within a region and across regions. We characterize the extent of contagion, its economic significance, and its determinants using a multinomial logistic regression model. Applying our approach to daily returns of emerging markets during the 1990s, we find that contagion is predictable and depends on regional interest rates, exchange rate changes, and conditional stock return volatility. Evidence that contagion is stronger for extreme negative returns than for extreme positive returns is mixed. Copyright 2003, Oxford University Press.