Financial Contagion in Latin America

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Borradores de Economía; No. 884

Date published

2015-05-11

Date

2015-05-11

Authors

Bejarano-Bejarano, Luis V.
Gómez-González, José Eduardo
Melo-Velandia, Luis Fernando
Torres-Gorron, Jhon Edwar

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Document language

spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

This study uses a Dynamic Conditional Correlation multivariate GARCH approach for testing for contagion among Latin American financial markets to shocks originated in the United States and Europe. Using daily data on stock market returns for the period co

Description

JEL Codes

C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
G15 - International Financial Markets
G01 - Financial Crises

Temática

Keywords

Keywords

Financial contagion , Financial crises , Multivariate GARCH models

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/6173
 https://hdl.handle.net/20.500.12134/6173
 https://ideas.repec.org/p/bdr/borrec/884.html
 https://doi.org/10.32468/be.884

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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.

Este documento ha sido depositado por parte de el(los) autor(es) bajo la siguiente constancia de depósito