Measuring dependence in financial crisis: A copula approach for Mexico and Brazil

Arturo Lorenzo Valdés () and Ricardo Massa ()
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Arturo Lorenzo Valdés: Professor, Finance and Accounting Academic Department, Universidad de las Américas Puebla. San Andrés Cholula, Pue. Mexico.

Economía Mexicana NUEVA ÉPOCA, 2013, vol. XXII, issue 2, 341-355

Abstract: This paper studies the dependence in Mexican and Brazilian financial markets through a method that has proved to obtain better results —along with the characterization of non-linearity and asymptotic dependence— than the use of simple correlation analysis: the copula approach. Using weekly returns of the IPyC and IBOV from January 1975 to November 2010 we compared the results of numerical methods that solved for the Kendall’s tau in three types of copulas: the two-dimensional Gaussian copula, the bivariate Gumbel copula, and the bivariate Clayton copula. Also, we used different study periods in order to find evidence of changing dependence structures during financial turmoils, like the one that occurred in 2008. This paper points out that the dependence structure between the above mentioned markets strengthened after the financial crisis of 2008.

Keywords: financial crises; dependence; copulas. (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:emc:ecomex:v:22:y:2013:i:2:p:341-355

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