International propagation of shocks: an evaluation of contagion effects for some Latin American countries

In this paper we analyze the spread of shocks across assets markets in eight Latin American countries. First, we measure the extent of markets reactions with the Principal Components Analysis. And second, we investigate the volatility of assets markets based in ARCH-GARCH models in function of the p...

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Autores Principales: Ramírez Gómez, Manuel, Martínez, Constanza
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2009
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/10970
id ir-10336-10970
recordtype dspace
spelling ir-10336-109702019-09-19T12:37:01Z International propagation of shocks: an evaluation of contagion effects for some Latin American countries Ramírez Gómez, Manuel Martínez, Constanza Assets markets Financial contagion Interdependence Economía financiera Ciclos económicos Crisis económica Mercados internacionales Mercados financieros In this paper we analyze the spread of shocks across assets markets in eight Latin American countries. First, we measure the extent of markets reactions with the Principal Components Analysis. And second, we investigate the volatility of assets markets based in ARCH-GARCH models in function of the principal components retained in the first stage. Our results do not support the existence of financial contagion, but of interdependence in most of the cases and a slight increase in the sensibility of markets to recent shocks. 2009-09 2015-10-06T12:41:43Z info:eu-repo/semantics/workingPaper info:eu-repo/semantics/acceptedVersion http://repository.urosario.edu.co/handle/10336/10970 spa info:eu-repo/semantics/openAccess application/pdf Universidad del Rosario Facultad de Economía instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario
institution EdocUR - Universidad del Rosario
collection DSpace
language Español (Spanish)
topic Assets markets
Financial contagion
Interdependence
Economía financiera
Ciclos económicos
Crisis económica
Mercados internacionales
Mercados financieros
spellingShingle Assets markets
Financial contagion
Interdependence
Economía financiera
Ciclos económicos
Crisis económica
Mercados internacionales
Mercados financieros
Ramírez Gómez, Manuel
Martínez, Constanza
International propagation of shocks: an evaluation of contagion effects for some Latin American countries
description In this paper we analyze the spread of shocks across assets markets in eight Latin American countries. First, we measure the extent of markets reactions with the Principal Components Analysis. And second, we investigate the volatility of assets markets based in ARCH-GARCH models in function of the principal components retained in the first stage. Our results do not support the existence of financial contagion, but of interdependence in most of the cases and a slight increase in the sensibility of markets to recent shocks.
format Documento de trabajo (Working Paper)
author Ramírez Gómez, Manuel
Martínez, Constanza
author_facet Ramírez Gómez, Manuel
Martínez, Constanza
author_sort Ramírez Gómez, Manuel
title International propagation of shocks: an evaluation of contagion effects for some Latin American countries
title_short International propagation of shocks: an evaluation of contagion effects for some Latin American countries
title_full International propagation of shocks: an evaluation of contagion effects for some Latin American countries
title_fullStr International propagation of shocks: an evaluation of contagion effects for some Latin American countries
title_full_unstemmed International propagation of shocks: an evaluation of contagion effects for some Latin American countries
title_sort international propagation of shocks: an evaluation of contagion effects for some latin american countries
publisher Universidad del Rosario
publishDate 2009
url http://repository.urosario.edu.co/handle/10336/10970
_version_ 1645142366763352064
score 11,39188