Testing the Hypothesis of Contagion using Multivariate Volatility Models

Emerson Marçal and Pedro Valls Pereira

MPRA Paper from University Library of Munich, Germany

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

Keywords: Contagion; Multivariate Volatility Models (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Date: 2008-08
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Citations: View citations in EconPapers (2)

Published in Brazilian Review of Econometrics 2.28(2008): pp. 21-34

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Related works:
Working Paper: Testing the hypothesis of contagion using multivariate volatility models (2009)
Journal Article: Testing the Hypothesis of Contagion Using Multivariate Volatility Models (2008)
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