Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals

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dc.contributor.authorMarcal E.F.
dc.contributor.authorPereira P.L.V.
dc.contributor.authorMartin D.M.L.
dc.contributor.authorNakamura W.T.
dc.date.accessioned2024-03-13T01:10:49Z
dc.date.available2024-03-13T01:10:49Z
dc.date.issued2011
dc.description.abstractThis article investigates the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994 to 2003. The econometrics methodology used is that of multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family volatility models, particularly the Dynamic Conditional Correlation (DCC) models in the form proposed by Engle and Sheppard (2001). The returns were duly corrected for a series of country-specific fundamentals. The relevance of this procedure is highlighted in the literature by the work of Pesaran and Pick (2003). The results obtained in this article provide evidence favourable for the hypothesis of regional contagion in both Latin America and Asia. As a rule, contagion spread from the Asian crisis to Latin America, but not in the opposite direction. © 2011 Taylor & Francis.
dc.description.firstpage2365
dc.description.issuenumber19
dc.description.lastpage2379
dc.description.volume43
dc.identifier.doi10.1080/00036840903194204
dc.identifier.issn0003-6846
dc.identifier.urihttps://dspace.mackenzie.br/handle/10899/36962
dc.relation.ispartofApplied Economics
dc.rightsAcesso Restrito
dc.titleEvaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
dc.typeArtigo
local.scopus.citations20
local.scopus.eid2-s2.0-79960703754
local.scopus.updated2024-05-01
local.scopus.urlhttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=79960703754&origin=inward
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