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Financial Contagion: A Methodology for its Evaluation using Asymptotic Dependence Coefficients

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  • Jorge Uribe

Abstract

A recently developed methodology, based on asymptotic dependence coefficients, is proposed to detect financial market contagion. The approach, while remaining within the theoretical limits of the problem, is robust when compared against common statistical approximation criteria such as Pearson coefficients and vector autoregressions. The technique is applied to evaluate the historical performance of the main financial markets in Colombia, namely public bonds, stocks, money and the exchange rate. In broad terms, no signs of financial contagion were detected even after the world financial crisis of 2007- 2009.

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File URL: http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/11475/10471
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Bibliographic Info

Article provided by Universidad de Antioquia, Departamento de Economía in its journal LECTURAS DE ECONOMÍA.

Volume (Year): (2011)
Issue (Month): 75 ()
Pages: 29-57

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Handle: RePEc:lde:journl:y:2011:i:75:p:29-57

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Web page: http://economia.udea.edu.co
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Postal: Lecturas de Economía, Departamento de Economía, Calle 67, 53-108, Medellin 050010, Colombia.

Related research

Keywords: financial contagion; copulas; MGARCH; extreme dependence; financial markets; Colombia;

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