Testing the hypothesis of contagion using multivariate volatility models

Detalhes bibliográficos
Autor(a) principal: Pereira, Pedro L. Valls
Data de Publicação: 2009
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/2180
Resumo: 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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spelling Pereira, Pedro L. VallsEscolas::EESP2009-01-26T12:33:48Z2009-01-26T12:33:48Z2009-01-26http://hdl.handle.net/10438/2180The 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. 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dc.title.eng.fl_str_mv Testing the hypothesis of contagion using multivariate volatility models
title Testing the hypothesis of contagion using multivariate volatility models
spellingShingle Testing the hypothesis of contagion using multivariate volatility models
Pereira, Pedro L. Valls
Multivariate volatility models
Contagion
Crise financeira
Finanças - Modelos matemáticos
Economia
Economia
title_short Testing the hypothesis of contagion using multivariate volatility models
title_full Testing the hypothesis of contagion using multivariate volatility models
title_fullStr Testing the hypothesis of contagion using multivariate volatility models
title_full_unstemmed Testing the hypothesis of contagion using multivariate volatility models
title_sort Testing the hypothesis of contagion using multivariate volatility models
author Pereira, Pedro L. Valls
author_facet Pereira, Pedro L. Valls
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.author.fl_str_mv Pereira, Pedro L. Valls
dc.subject.por.fl_str_mv Multivariate volatility models
Contagion
Crise financeira
Finanças - Modelos matemáticos
topic Multivariate volatility models
Contagion
Crise financeira
Finanças - Modelos matemáticos
Economia
Economia
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Economia
description 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.
publishDate 2009
dc.date.accessioned.fl_str_mv 2009-01-26T12:33:48Z
dc.date.available.fl_str_mv 2009-01-26T12:33:48Z
dc.date.issued.fl_str_mv 2009-01-26
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/2180
url http://hdl.handle.net/10438/2180
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Textos para discussão - EESP ; 174
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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