International propagation of shocks: an evaluation of contagion effects for some Latin American countries
Constanza Martínez () and
Macroeconomics and Finance in Emerging Market Economies, 2011, vol. 4, issue 2, 213-233
In this paper we analyse the spread of shocks across asset markets in eight Latin American countries. First, we measure the extent of market reactions with the principal components analysis, and second, we investiga'te the volatility of asset markets based on ARCH-GARCH models as a function of the principal components retained in the first stage. Our results do not support the existence of financial contagion, but they do support interdependence in most cases along with a slight increase in the sensitivity of markets to recent shocks.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: International propagation of shocks: an evaluation of contagion effects for some Latin American countries (2009)
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:taf:macfem:v:4:y:2011:i:2:p:213-233
Ordering information: This journal article can be ordered from
Access Statistics for this article
Macroeconomics and Finance in Emerging Market Economies is currently edited by Subrata Sarkar and Ashima Goyal
More articles in Macroeconomics and Finance in Emerging Market Economies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().