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

Jorge Uribe

Lecturas de Economía, 2011, issue 75, 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 F30 G10 G12 G15 (search for similar items in EconPapers)
Date: 2011
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