Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s

@article{Edwards2000InterestRV,
  title={Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s},
  author={S. Edwards and Raul Susmel},
  journal={Latin American Economics},
  year={2000}
}
In this paper we use high frequency interest rate data for a group of Latin American countries to analyze the behavior of volatility through time. We are particularly interested in understanding whether periods of high volatility spillover across countries. Our analysis relies both on univariate and bivariate switching volatility models. Our results indicate that high-volatility episodes are, in general, short-lived, lasting from two to seven weeks. We find some weak evidence of volatility co… Expand
Common volatility across Latin American foreign exchange markets
The Impact of the Argentine Default on Volatility Co-Movements in Emerging Bond Markets
Comovements and contagion in emergent markets: stock indexes volatilities
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 16 REFERENCES
...
1
2
...