Is the BRICS decoupling effect reversing? Evidence from dynamic models

Stavros Stavroyiannis

International Journal of Economics and Business Research, 2017, vol. 13, issue 3, 303-315

Abstract: The recent large drop of the crude oil price since the mid-2014 has created financial turbulence in the oil-based exporting emerging markets countries. The impact of this shock is examined for the BRICS markets using two approaches: 1) we study the BRICS as a group for any recent time varying herding or anti-herding behaviour using stochastic volatility models; 2) the bivariate properties of the group are examined via implementation of the multivariate GARCH methodology. Both approaches indicate a reversal of the behaviour; the statistically significant anti-herding behaviour is diminishing, and a rise of the dynamic conditional correlations is observed.

Keywords: BRICS countries; herding behaviour; stochastic volatility; dynamic conditional correlation; DCC; multivariate GARCH; dynamic modelling; crude oil prices; financial turbulence; anti-herding behaviour; Brazil; Russia; India; China; South Africa. (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijecbr:v:13:y:2017:i:3:p:303-315

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