TY  - JOUR
AU  - Rigobon,Roberto
TI  - Identification through Heteroskedasticity: Measuring "Contagion: betweenArgentinean and Mexican Sovereign Bonds
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7493
PY  - 2000
Y2  - January 2000
UR  - http://www.nber.org/papers/w7493
L1  - http://www.nber.org/papers/w7493.pdf
N1  - Author contact info:
Roberto Rigobon
MIT Sloan School of Management
100 Main Street, E62-516
Cambridge, MA 02142
Tel: 617/258-8374
Fax: 617/258-6855
E-Mail: rigobon@mit.edu
AB  - 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.
ER  -