International propagation of shocks: an evaluation of contagion effects for some Latin American countries

Manuel Ramirez and Constanza Martínez

No 5789, Documentos de Trabajo from Universidad del Rosario

Abstract: In this paper we analyze the spread of shocks across assets markets in eight Latin-American countries. First, we measure the extent of markets reactions with the Principal Components Analysis. And second, we investigate the volatility of assets markets based in ARCH-GARCH models in function of the principal components retained in the first stage. Our results do not support the existence of financial contagion, but of interdependence in most of the cases and a slight increase in the sensibility of markets to recent shocks.

Keywords: assets markets; financial contagion; interdependence (search for similar items in EconPapers)
JEL-codes: F30 F32 F34 (search for similar items in EconPapers)
Pages: 27
Date: 2009-09-07
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Persistent link: https://EconPapers.repec.org/RePEc:col:000092:005789

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