International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002

Melisso Boschi

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of this paper is to look for evidence of financial contagion suffered by several countries as a result of the latest Argentine crisis. I focus my attention on a set of countries: Brazil, Mexico, Russia, Turkey, Uruguay, and Venezuela. I also focus exclusively on three financial markets: foreign exchange, stock exchange, and sovereign debt. In order to test the hypothesis of contagion, Vector Autoregression (VAR) models and instantaneous correlation coefficients corrected for heteroscedasticity are estimated. The analysis shows that there is no evidence of contagion. This result provides empirical support for the non-crisis-contingent theories of international financial contagion.

Keywords: International Financial Contagion; Argentine Crisis; VAR models; Correlation. (search for similar items in EconPapers)
JEL-codes: C32 F31 G15 (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (7)

Published in Applied Financial Economics 3.15(2005): pp. 153-163

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