Testing the hypothesis of contagion using multivariate volatility models

Pedro Valls Pereira
Authors registered in the RePEc Author Service: Emerson Fernandes Marçal

No 174, Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

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: 2009-01-26
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Testing the Hypothesis of Contagion Using Multivariate Volatility Models (2008)
Working Paper: Testing the Hypothesis of Contagion using Multivariate Volatility Models (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:eesptd:174

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