TY  - JOUR
AU  - Edwards,Sebastian
AU  - Susmel,Raul
TI  - Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7813
PY  - 2000
Y2  - July 2000
UR  - http://www.nber.org/papers/w7813
L1  - http://www.nber.org/papers/w7813.pdf
N1  - Author contact info:
Sebastian Edwards
UCLA Anderson Graduate School of Business
110 Westwood Plaza, Suite C508
Box 951481
Los Angeles, CA 90095-1481
Tel: 310/206-6797
Fax: 310/206-5825
E-Mail: sebastian.edwards@anderson.ucla.edu
AB  - 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.
ER  -