Edwards, Sebastian
Contagion and volatility in the 1990s [Separata]. -- no. 153. -- Buenos Aires : CEMA, 1999. -- (Documentos de Trabajo - CEMA)

In this paper we use interest rate data for a group of Latin American countries to analyze the extent to which these countries have been subject to contagion. We are particularly interest in understanding volatility contagion, or the way in which periods of high volatility spillover across countries. Our paper departs from the existing literature in one important aspect: we allow the data to endogenously determine whether there have been periods of contagion. Then, we use the dates to study contagion periods. We find that contagion events are short-lived, lasting from two to seven weeks. We also find that Asian and Russian crisis have had a greater effect on the Latin American countries than the pure Mexican and Brazilian crisis

1. AMERICA LATINA; 2. BRASIL; 3. CHILE; 4. ARGENTINA; 5. TASA DE INTERES; 6. CRISIS; 7. MERCADO FINANCIERO; 8. ECONOMETRIA I. Susmel, Raúl II. Universidad del CEMA

(1) Inv.: PS-AR-C-CEMA-DT-153 S.T.: PS-AR-C-CEMA-DT-153