| Revista: | Journal of applied economics |
| Base de datos: | CLASE |
| Número de sistema: | 000429635 |
| ISSN: | 1667-6726 |
| Autores: | Viale, Ariel M1 Bessler, David A2 Kolari, James W2 |
| Instituciones: | 1Florida Atlantic University, Boca Raton, Florida. Estados Unidos de América 2Texas A&M University, College Station, Texas. Estados Unidos de América |
| Año: | 2014 |
| Periodo: | Nov |
| Volumen: | 17 |
| Número: | 2 |
| Paginación: | 373-400 |
| País: | Argentina |
| Idioma: | Inglés |
| Tipo de documento: | Artículo |
| Enfoque: | Aplicado |
| Resumen en inglés | We introduce a flexible copula-based semi-parametric test of financial contagion that is capable of capturing structural shifts in the transmission channel of shocks across a network of financial markets beyond the increase in the intensity of time-varying dependence. We illustrate the capabilities of the proposed test using returns of stock, money, sovereign debt, and foreign exchange markets of seven Latin-American countries, and test for the presence of pure contagion effects for each major financial crisis that affected the Mercosur region between 1994 and 2001. Besides strong evidence in favor of time-varying market interdependence, we cannot rule out the presence of pure contagion effects in the stock market transmission channel associated with the Mexican, Asian, and Russian financial crises |
| Disciplinas: | Economía |
| Palabras clave: | Inversiones, Econometría, Contagio financiero, Mercados financieros, Crisis económica, Indicadores financieros, MERCOSUR |
| Texto completo: | Texto completo (Ver PDF) |
