International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002

33 Pages Posted: 5 Dec 2005

See all articles by Melisso Boschi

Melisso Boschi

Centre for Applied Macroeconomic Analysis (CAMA)

Abstract

The aim of this study is to look for evidence of financial contagion suffered by several countries as a result of the latest Argentine crisis. Attention is focused on a set of countries: Brazil, Mexico, Russia, Turkey, Uruguay, and Venezuela. Three financial markets are focused on exclusively: foreign exchange, stock exchange and sovereign debt. In order to test the hypothesis of contagion, Vector Autoregression (VAR) models and instantaneous correlation coefficients corrected for heteroscedasticity are estimated.

The analysis shows that there is no evidence of contagion. This result provides empirical support for the non-crisis-contingent theories of international financial contagion.

Keywords: International Financial Contagion, Argentine Crisis, VAR models, Correlation.

JEL Classification: C32, F31, G15

Suggested Citation

Boschi, Melisso, International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002. Applied Financial Economics, Vol. 15, pp. 153-163, 2005, Available at SSRN: https://ssrn.com/abstract=860724

Melisso Boschi (Contact Author)

Centre for Applied Macroeconomic Analysis (CAMA) ( email )

ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
Australia

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