01641cas a2200253 a 4500 AALejournalIMF002545 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451858525 1018-5941 BD-DhAAL BD-DhAAL Rebucci, Alessandro. Measuring Contagion with a Bayesian Time-Varying Coefficient Model / Alessandro Rebucci, Matteo Ciccarelli. Washington, D.C. : International Monetary Fund, 2003. 1 online resource (32 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from structural breaks and can be used to investigate positive as well as negative contagion. The proposed measure appears to work well using both simulated and actual data. Mode of access: Internet Ciccarelli, Matteo. IMF Working Papers; Working Paper ; No. 2003/171 Full text available on IMF http://elibrary.imf.org/view/journals/001/2003/171/001.2003.issue-171-en.xml IMF e-Library