Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion
is defined as a significant increase in market comovement after a shock to one country, …

… Pavlova and Rigobon use a general equilibrium model to analyze the … See Rigobon and
Sack for a thorough description of the methodology to improve event studies.probability models …

This paper investigates the divergence of environmental, social, and governance (ESG) ratings
based on data from six prominent ESG rating agencies: Kinder, Lydenberg, and Domini (…

… Author links open overlay panel Roberto Rigobon a b , Brian Sack c … Shocks to the stock
market generally cause short-term interest rates to respond in the same direction (Rigobon and …

This paper develops a method for solving the identification problem that arises in
simultaneous-equation models. It is based on the heteroskedasticity of the structural shocks. For …

Movements in the stock market can have a significant impact on the macroeconomy and are
therefore likely to be an important factor in the determination of monetary policy. However, …

We estimate the interrelationships among economic institutions, political institutions, openness,
and income levels, using identification through heteroskedasticity (IH). We split our cross…

… 20 In an earlier version of this paper (Gopinath, Itskhoki, and Rigobon 2007), we numerically
solved for an industry equilibrium and endogenous sectoral price level dynamics. However, …

… Forbes and Rigobon then perform an extensive set of tests for shiftcontagion based on both
the … Forbes and Rigobon conclude that when contagion is defined as a significant increase in …

The existence of a natural resource curse has been a longstanding theme in the economic
literature and in policy discussions. We propose an alternative mechanism and study its …