Contagio em mercados financeiros emergentes / Emerging financial markets contagion
AUTOR(ES)
Juliana de Paula
DATA DE PUBLICAÇÃO
2006
RESUMO
The issue of contagion has been one of the most debated in the international finance literature in the last years. Although there is no general agreement regarding the definition of contagion, it is known that this issue is related to the fact that crisis started in one country tend to propagate to other countries. Therefore, a measure used as an indication of the presence of contagion is the growth of the conditional correlation during crisis periods. This dissertation review some of the statistical techniques used to estimate conditional correlation: the exponential smoothing method, multivariate GARCH type models and factor analysis with stochastic volatility model. These techniques are applied in order to study contagion among Latin American and some asian market countries, i.e. Brazil, Mexico, Argentina, Malaysia and Russia covering the period from 05/09/1995 until 30/12/2004. In some crisis period, mainly during the Asian crisis there is a general agreement among all techniques, but there also cases where they lead to different conclusions
ASSUNTO(S)
mercado financeiro time series multivariate analysis análise multivariada series temporais financial markets
