SciELO - Scientific Electronic Library Online

 
vol.22 issue2Co-movement and Cyclical Synchronization of Employment across Mexican StatesFiscal Decentralization in Specific Areas of Government: A Technical Note author indexsubject indexsearch form
Home Pagealphabetic serial listing  

Services on Demand

Journal

Article

Indicators

Related links

  • Have no similar articlesSimilars in SciELO

Share


Economía mexicana. Nueva época

Print version ISSN 1665-2045

Abstract

VALDES, Arturo Lorenzo  and  MASSA ROLDAN, Ricardo. Measuring Dependence in Financial Crisis: A Copula Approach for Mexico and Brazil. Econ. mex. Nueva época [online]. 2013, vol.22, n.2, pp.341-355. ISSN 1665-2045.

This paper studies the dependence in Mexican and Brazilian financial markets trough a method that has proved to obtain better results -along with the characterization of non-linearity and asymptotic dependence- than the use of simple correlation analysis: the copula approach. Using weekly returns of the IPyC and IBOV from January 1975 to November 2010 we compared the results of numerical methods that solved for the Kendall's tau in three types of copulas: the two-dimensional Gaussian copula, the bivariate Gumbel copula, and the bivariate Clayton copula. Also, we used different study periods in order to find evidence of changing dependence structures during financial turmoils, like the one that occurred in 2008. This paper points out that the dependence structure between the above mentioned markets strengthened after the financial crisis of 2008.

Keywords : financial crises; dependence; copulas.

        · abstract in Spanish     · text in English

 

Creative Commons License All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License