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Testing the Hypothesis of Contagion using Multivariate Volatility Models

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  • Marçal, Emerson F.
  • Valls Pereira, Pedro L.

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

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15623.

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Date of creation: Aug 2008
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Publication status: Published in Brazilian Review of Econometrics 2.28(2008): pp. 21-34
Handle: RePEc:pra:mprapa:15623

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Keywords: Contagion; Multivariate Volatility Models;

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