Financial Contagion: A Methodology for its Evaluation using Asymptotic Dependence Coefficients

Jorge Mario Uribe Gil ()

Lecturas de Economía, 2011, issue 75, pages 29-57

Abstract: A recently developed methodology, based on asymptotic dependence coefficients, is proposed to detect financial market contagion. The approach, while remaining within the theoretical limits of the problem, is robust when compared against common statistical approximation criteria such as Pearson coefficients and vector autoregressions. The technique is applied to evaluate the historical performance of the main financial markets in Colombia, namely public bonds, stocks, money and the exchange rate. In broad terms, no signs of financial contagion were detected even after the world financial crisis of 2007- 2009.

Keywords: financial contagion; copulas; MGARCH; extreme dependence; financial markets; Colombia (search for similar items in EconPapers)
JEL-codes: C32 G10 G12 G15 F30 (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
ftp://ftp.drivehq.com/cavasco/lecturas/numero75/n75a2.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:lde:journl:y:2011:i:75:p:29-57

Ordering information: This journal article can be ordered from
Lecturas de Economía, Departamento de Economía, Calle 67, 53-108, Medellin 050010, Colombia.

Access Statistics for this article

Lecturas de Economía is edited by Catalina Granda-Carvajal

More articles in Lecturas de Economía from Universidad de Antioquia, Departamento de Economía
Contact information at EDIRC.
Series data maintained by Carlos Andrés Vasco Correa ().