Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals

Pedro Valls Pereira, Emerson Marçal, Diógenes Manoel Leiva Martin and Wilson Toshiro Nakamura

No 177, Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

Abstract: This article investigates the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994-2003. The economic methodology used is that of multivariate GARCH family volatility models, particularly the DCC models in the form proposed by Engle and Sheppard (2001). The returns were duly corrected for a series of country-specific fundamentals. The relevance of this procedure is highlighted in the literature by the work of Pesaran and Pick (2003). The results obtained in this paper provide evidence favourable to the hypothesis of regional contagion in both Latin America and Asia. As a rule, contagion spread from the Asian crisis to Latin America but not in the opposite direction.

Date: 2009-01-26
New Economics Papers: this item is included in nep-his, nep-mac and nep-sea
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Journal Article: Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:eesptd:177

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