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Financial crises often transmit across geographical borders and different asset classes. Modeling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework encompasses a number of other empirical contagion models and why the results between the models differ. The book builds a framework which begins from considering contagion in the bond...

This book reviews the state-of-the-art of the literature on international financial contagion. The individual contributions bridge the gap between econometric theory and evidence, while the comprehensive range of financial market and country regions under consideration highlights the future challenges facing econometricians, international policymakers, and financial practitioners.