International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002
33 Pages Posted: 5 Dec 2005
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: Suggested Citation