Identification through Heteroskedasticity: Measuring "Contagion / Roberto Rigobon.

Format:

Book

Author/Creator:

Rigobon, Roberto.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w7493.

NBER working paper series no. w7493

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Identification through Heteroskedasticity

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2000.

Summary:

In this paper, I develop a new identification method to solve the problem of simultaneous equations, based on heteroskedasticity of the structural shocks. I show that if the heteroskedasticity can be described as a two-regime process, then the system is just identified under relatively weak conditions. Identification is also discussed under more than two regimes, when the residuals exhibit ARCH behavior, and when there are aggregate shocks. This methodology is applied to measure contagion across sovereign bonds between Argentina and Mexico. The estimates of the simultaneous parameters are relatively to different definitions of the regimes.

Notes:

Print version record

January 2000.