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

@inproceedings{Boschi2015InternationalFC,
  title={International Financial Contagion : Evidence from the Argentine Crisis of 2001-2002},
  author={Melisso Boschi},
  year={2015}
}
The aim of this paper is to look for evidence of financial contagion suffered by several countries as a result of the latest Argentine crisis. I focus my attention on a set of countries: Brazil, Mexico, Russia, Turkey, Uruguay, and Venezuela. I also focus exclusively on three financial markets: 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… CONTINUE READING

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