Financial Contagion in Latin America

Luis V. Bejarano-Bejarano (), Jose Gomez-Gonzalez, Luis Melo-Velandia and Jhon Torres ()
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Luis V. Bejarano-Bejarano: Banco de la República de Colombia

Borradores de Economia from Banco de la Republica de Colombia

Abstract: This study uses a Dynamic Conditional Correlation multivariate GARCH approach for testing for contagion among Latin American financial markets to shocks originated in the United States and Europe. Using daily data on stock market returns for the period comprised between July 4th, 2001 and December 30th, 2013, we find some evidence suggesting two episodes of contagion. The first corresponds to the time of the mortgage subprime crisis in the US, while the second corresponds to the period of sovereign bonds' turbulence in Europe.

Keywords: Financial contagion; Financial crises; Multivariate GARCH models. (search for similar items in EconPapers)
JEL-codes: C32 G01 G15 (search for similar items in EconPapers)
Pages: 21
Date: 2015-05
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Citations: View citations in EconPapers (1)

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https://doi.org/10.32468/be.884 (application/pdf)

Related works:
Working Paper: Financial Contagion in Latin America (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:884

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