Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test

provided by Research Papers in Economics

ECONOMIC GROWTH CENTER

YALE UNIVERSITY

P.O. Box 208269

New Haven, CT 06520-8269

CENTER DISCUSSION PAPER NO. 822

CORRELATION ANALYSIS OF FINANCIAL CONTAGION:

WHAT ONE SHOULD KNOW BEFORE RUNNING A TEST

Giancarlo Corsetti

Yale University, University of Rome III, and CEPR

Marcello Pericoli
Bank of Italy

and

Massimo Sbracia
Bank of Italy

April 2001

Note: Center Discussion Papers are preliminary materials circulated to stimulate discussions and critical
comments.

We thank Luca Dedola and seminar participants at the ZEI Summer School and Banca d’Italia for
comments. Giavanna Poggi has provided valuable research assistance. The views expressed in this paper
are those of the authors and do not necessarily reflect those of the Bank of Italy, or any other institutions
with which the authors are affiliated. Correspondence: [email protected].

This paper can be downloaded without charge from the Social Science Research Network
electronic library at: http://papers.ssrn.com/paper.taf?abstract id=274894

An index to papers in the Economic Growth Center Discussion Paper Series is located at:
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