NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Sebastian Edwards, Raul Susmel

NBER Working Paper No. 7813
Issued in July 2000
NBER Program(s):   IFM

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-movements across countries. Overall, our results are not overly supportive of contagion' stories.

download in pdf format
   (309 K)

email paper

This paper is available as PDF (309 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w7813

Published: Edwards, Sebastian and Raul Susmel. "Volatility Dependence And Contagion In Emerging Equity Markets," Journal of Development Economics, 2001, v66(2,Dec), 505-532.

Users who downloaded this paper also downloaded these:
Edwards w6756 Interest Rate Volatility, Capital Controls, and Contagion
Edwards w7801 Interest Rates, Contagion and Capital Controls
Rigobon Contagion: How to Measure It?
Sachs, Tornell, and Velasco w5576 Financial Crises in Emerging Markets: The Lessons from 1995
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us