Contagion effect in Latin America big three

Authors

  • Marcos C. Holanda Universidade Federal do Ceará Author
  • Márcio V. Corrêa Universidade Nova Lisboa Author

DOI:

https://doi.org/10.1590/S0101-41612003000300004

Keywords:

contagion, financial crisis, Kalman filter

Abstract

The article investigates the occurrence of contagion among the three main economies of Latin America during the second half of the 90's. The investigation is based on the Brady Bonds market for Brazil, Mexico and Argentina. Three methodologies are applied to quantify the contagion effect: correlation of Brady Bonds price, analyses of residuals of estimated regressions and signal extraction analyses through the Kalman filter.

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Published

01-09-2003

Issue

Vol. 33 No. 3 (2003)

Section

Não definida

License

Copyright (c) 2003 Marcos C. Holanda, Márcio V. Corrêa

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

By submitting an article, the author authorizes its publication and attests that it has not been submitted to any other journal. The original article is considered final. Articles selected for publication are proofread for grammatical and orthographic errors. The journal does not pay rights for published articles. The Institute of Economic Research from the School of Economics, Business and Accounting of the University of São Paulo (Instituto de Pesquisas Econômicas da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo) owns the journal's copyright.

How to Cite

Holanda, M. C., & Corrêa, M. V. (2003). Contagion effect in Latin America big three. Estudos Econômicos (São Paulo), 33(3), 509-529. https://doi.org/10.1590/S0101-41612003000300004