Testing the Hypothesis of Contagion Using Multivariate Volatility Models

Emerson Marçal and Pedro Valls Pereira

Brazilian Review of Econometrics, 2008, vol. 28, issue 2

Abstract: The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used to implement the test. The contagion hypothesis is tested using multivariate volatility models. If there is any evidence of structural break in volatility that can be linked to financial crises, the contagion hypothesis will be confirmed. Results suggest that there is evidence in favor of the contagion hypothesis.

Date: 2008
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Related works:
Working Paper: Testing the hypothesis of contagion using multivariate volatility models (2009)
Working Paper: Testing the Hypothesis of Contagion using Multivariate Volatility Models (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:28:y:2008:i:2:a:1511

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