International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002
AbstractThe 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 28546.
Date of creation: 2004
Date of revision:
Publication status: Published in Applied Financial Economics 3.15(2005): pp. 153-163
International Financial Contagion; Argentine Crisis; VAR models; Correlation.;
Other versions of this item:
- Melisso Boschi, 2005. "International financial contagion: evidence from the Argentine crisis of 2001-2002," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 153-163.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F31 - International Economics - - International Finance - - - Foreign Exchange
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