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¿Hubo contagio financiero en las crisis financieras recientes? Una aplicación DCC-M-GARCH para Argentina, Brasil, Colombia y Estados Unidos

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  • Julián Roa Rozo

Abstract

El presente trabajo estudia la hipótesis de contagio financiero para las economías de Argentina, Brasil, Colombia y Estados Unidos durante el 16 de enero de 2008 hasta el 26 de octubre de 2016. Para modelar las interrelaciones entre los índices bursátiles de estos países se utilizó un modelo DCC M-GARCH (1,1). Los resultados muestran evidencia estadística a favor de la hipótesis de contagio financiero en la crisis sub-prime del 2008 y la crisis de la deuda soberana europea de 2011, mientras que, se rechaza para la crisis de la deuda soberana argentina de 2014.

Suggested Citation

  • Julián Roa Rozo, 2017. "¿Hubo contagio financiero en las crisis financieras recientes? Una aplicación DCC-M-GARCH para Argentina, Brasil, Colombia y Estados Unidos," Econógrafos, Escuela de Economía 15570, Universidad Nacional de Colombia, FCE, CID.
    • Handle: RePEc:col:000176:015570
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    File URL: http://fce.unal.edu.co/centro-editorial/docs/econografos-escuela-economia/109-hubo-contagio-financiero-en-las-crisis-financieras-recientes-una-aplicacion-dcc-m-garch-para-argentina-brasil-colombia-y-estados-unidos
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    More about this item

    Keywords

    contagio financiero; crisis financiera; M-GARCH; comovimientos del mercado bursátil;
    All these keywords.

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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