This paper takes a spatial modelling approach in specifying and testing for contagion among emerging market economies. Our approach enables us to estimate asymmetries such as the magnitude of contagion of one country upon others, as well as how that country in turn is affected, on average, by the events of others. The approach also enables us to test for contagion in a formal, straightforward way and to take account for distance and trade linkages among countries.
A Spatial Modeling Approach to Contagion Among Emerging EconomiesHarry H. Kelejian, George S. Tavlas, and George Hondroyiannis ,
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Open Economies Review