Contagion in Latin America: Definitions, Measurement, and Policy Implications
Roberto Rigobon () and
Kristin Forbes ()
Economía Journal, 2001, vol. Volume 1 Number 2, issue Spring 2001, 1-46
This paper analyzes bond and stock markets in Latin America and uses these patterns to investigate whether contagion occurred in the 1990's. It defines shift-contagion' as a significant increase in cross-market linkages after a shock to one country or region. Several coin-toss examples and a simple model show that the standard tests for contagion are biased due to the presence of heteroscedasticity, endogeneity, and omitted-variable bias. Recent empirical work which addresses these problems finds little evidence of shift-contagion during a range of crisis periods. Instead, this work argues that many countries are highly interdependent' in all states of the world and the strong cross-country linkages which exist after a crisis are not significantly different than those during more stable periods. These findings have a number of implications for Latin America.
Keywords: bond and stock markets; contagion; econometric analysis; Latin America (search for similar items in EconPapers)
JEL-codes: F30 F40 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (39) Track citations by RSS feed
Downloads: (external link)
Working Paper: Contagion in Latin America: Definitions, Measurement, and Policy Implications (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:col:000425:008709
Access Statistics for this article
More articles in Economía Journal from The Latin American and Caribbean Economic Association - LACEA
Bibliographic data for series maintained by LACEA ().