Boschi, Melisso (2004): International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002. Published in: Applied Financial Economics , Vol. 15, No. 3 (February 2005): pp. 153-163.
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The 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.
|Item Type:||MPRA Paper|
|Original Title:||International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002|
|Keywords:||International Financial Contagion, Argentine Crisis, VAR models, Correlation.|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Melisso Boschi|
|Date Deposited:||05. Feb 2011 16:12|
|Last Modified:||14. Feb 2013 23:03|
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