International propagation of shocks: An evaluation of contagion effects for some Latin American countries

Constanza Martinez, Manuel Ramirez

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

In this paper we analyse the spread of shocks across asset markets in eight Latin American countries. First, we measure the extent of market reactions with the principal components analysis, and second, we investiga'te the volatility of asset markets based on ARCH-GARCH models as a function of the principal components retained in the first stage. Our results do not support the existence of financial contagion, but they do support interdependence in most cases along with a slight increase in the sensitivity of markets to recent shocks.

Original languageEnglish (US)
Pages (from-to)213-233
Number of pages21
JournalMacroeconomics and Finance in Emerging Market Economies
Volume4
Issue number2
DOIs
StatePublished - Sep 1 2011

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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