Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s

Sebastian Edwards and Raul Susmel

No 7813, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In this paper we use high frequency interest rate data for a group of Latin American countries to analyze the behavior of volatility through time. We are particularly interested in understanding whether periods of high volatility spillover across countries. Our analysis relies both on univariate and bivariate switching volatility models. Our results indicate that high-volatility episodes are, in general, short-lived, lasting from two to seven weeks. We find some weak evidence of volatility co-movements across countries. Overall, our results are not overly supportive of contagion' stories.

JEL-codes: F0 F3 (search for similar items in EconPapers)
Date: 2000-07
New Economics Papers: this item is included in nep-fmk, nep-his and nep-mon
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Published as Edwards, Sebastian and Raul Susmel. "Volatility Dependence And Contagion In Emerging Equity Markets," Journal of Development Economics, 2001, v66(2,Dec), 505-532.

Downloads: (external link)
http://www.nber.org/papers/w7813.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:7813

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w7813

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by (wpc@nber.org).