Abstract
Keywords:
financial crisis, contagion effect, interdependence, factor analysis.Abstract
This study aims, using the Forbes and Rigobon (2002) and Corsetti, Pericoli and Sbracia
(2005) suggested methodologies, to verify the contagion effect among fifteen economies
during eight financial crisis. The study conclusion is that the Corsetti, Pericoli and
Sbracia (2005) model is more efficient to detect contagion, once it considers the variance
of the returns components that are not considered at Forbes and Rigobon (2002) approach.
The results are corroborated by robustness tests. The most contagion episode
is the 1997 Asian crisis, followed by the terrorist attack of 2001 September 11th, 1999
Brazilian crisis, 2000 Internet bubble and the Subprime crisis. The others episodes do not present any evidence of contagion effect. This fact indicates that the shocks were
restricted to the crisis origin country.
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References
BERGMANN, Daniel Reed; SAVOIA, José Roberto; SAITO; André Taue; CONTANI, Eduardo. Contagion effects of the US Subprime Crisis on Latin American and European Union Stock Markets. In: BALAS - The Business Association of Latin American Studies Conference, Barcelona, Spain, 2010.
BILLIO, Monica; CAPORIN, Massimiliano. Market linkages, variance spillovers, and correlation
stability: Empirical evidence of financial contagion. Computational Statistics and Data Analysis,
, p. 2443-2458, 2010.
CORRAR, Luiz J.; PAULO, Edilson; DIAS FILHO, José Maria (Org.). Análise Multivariada: para os
cursos de Administração, Ciência Contábeis e Economia. São Paulo: Atlas, 2007.
CORSETTI, Giancarlo; PERICOLI, Marcello Pericoli; SBRACIA, Massimo. Some contagion, some
interdependence: More pitfalls in tests of financial contagion. Journal of International Money
and Finance, 24 (8), pp. 1177-1199, 2005.
DORNBUSCH, Rudiger; PARK, Yung Chul; CLAESSENS, Stijn. Contagion: Understanding How It
Spreads. The World Bank Research Observer, vol.5, n.2, p.177-197, August, 2000.
EDWARDS, Sebastian; SUSMEL, Raul. Volatility Dependence and Contagion in Emerging Equity
Markets. Cambridge: NBER Working Paper, n.8506, October, 2001.
EICHENGREEN, Barry; ROSE, Andrew K.; WYPLOSZS, Charles. Contagious Currency Crises. NBER Working Paper, n. 5681, July, 1996.
FÁVERO, Luiz Paulo et al. Análise de Dados: Modelagem Multivariada para Tomada de Decisões. Rio de Janeiro: Elsevier, 2009.
BERGMANN, Daniel Reed; SAVOIA, José Roberto; SAITO; André Taue; CONTANI, Eduardo. Contagion effects of the US Subprime Crisis on Latin American and European Union Stock Markets. In: BALAS - The Business Association of Latin American Studies Conference, Barcelona, Spain, 2010.
BILLIO, Monica; CAPORIN, Massimiliano. Market linkages, variance spillovers, and correlation
stability: Empirical evidence of financial contagion. Computational Statistics and Data Analysis,
, p. 2443-2458, 2010.
CORRAR, Luiz J.; PAULO, Edilson; DIAS FILHO, José Maria (Org.). Análise Multivariada: para os
cursos de Administração, Ciência Contábeis e Economia. São Paulo: Atlas, 2007.
CORSETTI, Giancarlo; PERICOLI, Marcello Pericoli; SBRACIA, Massimo. Some contagion, some
interdependence: More pitfalls in tests of financial contagion. Journal of International Money
and Finance, 24 (8), pp. 1177-1199, 2005.
DORNBUSCH, Rudiger; PARK, Yung Chul; CLAESSENS, Stijn. Contagion: Understanding How It
Spreads. The World Bank Research Observer, vol.5, n.2, p.177-197, August, 2000.
EDWARDS, Sebastian; SUSMEL, Raul. Volatility Dependence and Contagion in Emerging Equity
Markets. Cambridge: NBER Working Paper, n.8506, October, 2001.
EICHENGREEN, Barry; ROSE, Andrew K.; WYPLOSZS, Charles. Contagious Currency Crises. NBER Working Paper, n. 5681, July, 1996.
FÁVERO, Luiz Paulo et al. Análise de Dados: Modelagem Multivariada para Tomada de Decisões. Rio de Janeiro: Elsevier, 2009.
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Copyright (c) 2013 Fernanda Finotti Perobelli, Tatiana Ladeira Vidal, José Roberto Securato
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