Financial Contagion in Latin America

Serie

• Borradores de economía

Resumen

• This study uses a Dynamic Conditional Correlation multivariate GARCH approach for testing for contagion among Latin American financial markets to shocks originated in the United States and Europe. Using daily data on stock market returns for the period comprised between July 4th, 2001 and December 30th, 2013, we find some evidence suggesting two episodes of contagion. The first corresponds to the time of the mortgage subprime crisis in the US, while the second corresponds to the period of sovereign bonds' turbulence in Europe.

autores

• Bejarano-Bejarano, Luis V.
• Gómez-González, José Eduardo
• Melo-Velandia, Luis Fernando
• Torres-Gorron, Jhon E.

fecha de publicación

• 2015-05

Área temática

• C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados
• G01 - Crisis financiera
• G15 - Mercados financieros internacionales

Enfoque geográfico

• South America  Continent

Líneas de investigación

• Financial Contagion
• Financial Crises
• Multivariate GARCH Models

Identificador de objeto digital (DOI)

• https://doi.org/10.32468/be.884

Issue

• 12820