بر اساس این، تعاریف مختلف سرایت (contagion) و ارتباط آن با سرریز (spill-over) و هم حرکتی (comovement) را توضیح بده:
2. What is Contagion?
In this section we review five definitions of contagion adopted by the literature
and the corresponding measures used in empirical work. The label contagion
suggests that the international transmission mechanism changes during financial
crises. However, by revisiting the literature, we find that early studies do not
always distinguish between contagion and interdependence, as they mainly focus
on the channels through which negative shocks propagate. In order to simplify
the discussion on the specific features of each definition and measure, we defer
bibliographic references to sections 3 (for theoretical studies) and 4 (for empirical
works).

Definitions and measures of contagion work well in the presence of an unam-
biguous identification of financial crisis. Depending on the object of the analysis,

the literature has identified a currency crisis with a devaluation from a ‘hard peg’
(such as a fixed or crawling peg) or with an extreme value of an exchange rate
pressure indicator (usually a weighted average of changes in the exchange rate,
short-term interest rates and international reserves); a stock market crisis with a
sharp fall in the stock market index or with an upsurge in the volatility of asset
prices (as these crises are always associated with a sizable rise in volatility);
a banking crisis with a collapse in the ratio of non-performing assets to
total assets, the closure or failure of important banking institutions, the
occurrence of major bail-outs, large-scale nationalizations of banks or widespread
bank runs. Some studies have also considered anecdotal accounts, especially in
the analysis of historical episodes of financial crises. In section 3, we provide our
own formal definition of financial crisis, in the context of the theoretical
framework.
2.1. Definitions
While there is no consensus on what contagion is, there are a few definitions which
are commonly used in the literature. We discuss the five most representative.
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Definition 1. Contagion is a significant increase in the probability of a crisis in one
country, conditional on a crisis occurring in another country.
This definition is usually associated with empirical studies of the international
implications of exchange rate collapses. It accounts for the observation that
exchange rate crises tend to involve a large set of countries, while some of the
countries in the set may be able to avoid devaluation despite being hit by strong
waves of speculative pressures.
Since the specification of the factors that trigger the initial crisis and its spread
is not relevant, this definition is consistent with many different views about the
international transmission mechanism. For instance, a cluster of crises may be
produced by common shocks, trade links, irrational behaviour or it may be the
equilibrium outcome of a policy game among national governments, facing a
shock to fundamentals. All these phenomena would nonetheless be labeled as
contagious.
Definition 2. Contagion occurs when volatility of asset prices spills over from the
crisis country to other countries.
A stylized fact in international financial markets is the rise in asset price
volatility that occurs during periods of financial turmoil. This definition exploits

this empirical evidence and, accordingly, identifies contagion as a volatility spil-
lover from one market to another. Asset price volatility is generally regarded as a

good approximation of market uncertainty. Hence, in an interpretation of this
definition, contagion also refers to the spread of uncertainty across international
financial markets.
Note that a simultaneous rise in volatility in different markets might be due to
normal interdependence between these markets or to a structural change affecting
cross-market linkages. Such a distinction is neglected by this definition, which
merely focuses on the occurrence of a volatility spillover and not on its causes. It
is instead at the base of the definitions that follow.
Definition 3. Contagion occurs when cross-country comovements of asset prices
cannot be explained by fundamentals.
This definition of contagion is theoretically precise in the framework of models
that allow for multiple instantaneous equilibria in the presence of a coordination
problem. If the spread of a crisis reflects an arbitrary switch from one equilibrium
to another, fundamentals alone cannot explain its timing and modalities. The
state of fundamentals may nonetheless explain why some countries are vulnerable
to crises while others are not. For instance, if contagion spreads via liquidity
crises, then a low level of international reserves relative to short term liabilities
denominated in foreign currency puts a country at risk.
Definition 3 may also apply, however, to cases in which coordination problems
among economic agents are not associated with arbitrary mechanisms of
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equilibrium selection. Recent incomplete information models (such as the games
that we examine in section 3) show that sudden discontinuities in the time series of
prices and quantities are not necessarily driven by ‘sunspots’. In standard models
of currency crises and bank runs, incomplete information typically rules out
multiplicity of equilibria. Then, for given levels of fundamentals, small differences
in private information or in the degree of uncertainty of agents’ beliefs can
produce significant changes in the behavior of economic agents. However, these
events are more likely to trigger currency crises when fundamentals are weak.

Definition 4. Contagion is a significant increase in comovements of prices and
quantities across markets, conditional on a crisis occurring in one market or group
of markets.
The merit of this definition is its immediate appeal: it fits what is commonly
perceived as contagion, such as the spread of financial instability after the Hong
Kong stock market crash in October 1997, or after the Russian crisis in the
summer of 1998.
By stressing the quantitative dimension (a ‘significant increase’), this definition
conveys the notion of contagion as ‘excessive comovements’, relative to some

standard. The open issue is thus to draw a distinction between normal comove-
ments due to simple interdependence and excessive comovements in prices and

quantities due to some structural break in the data. A similar identification of
contagion is at the core of the following definition.

Definition 5. (Shift-)contagion occurs when the transmission channel intensifies or,
more generally, changes after a shock in one market.
The international transmission mechanism may strengthen in response to a
crisis in one country. For instance, some channels of transmission might be active

only during financial crises. More generally, we could simply identify shift-con-
tagion with a change in the transmission mechanism contingent on a crisis: there

is no reason why the concept of contagion should be confined to the hypothesis of
stronger than normal cross-country linkages.
The implications of contagion according to this definition are somewhat similar

to those of the previous two definitions. As in the third definition, the phenom-
enon could be due to a jump between multiple equilibria; nevertheless, the

definition of shift-contagion also includes discontinuities in the behavior of

economic variables which are produced by, e.g., learning processes or by informa-
tional cascades and herding by market participants. Similarly to the fourth

definition, shift-contagion could be measured in terms of excessively strong (or
weak) comovements of prices and quantities across countries. However, tests for

structural breaks in the data-generating process would probably be more appro-
priate.

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