Resumo

RODRIGUEZ BENAVIDES, Domingo  e  PERROTINI HERNANDEZ, Ignacio. The Dynamic Correlations of Financial Contagion: the United States and Latin América. Rev. mex. econ. finanz [online]. 2019, vol.14, n.2, pp.151-168.  Epub 29-Nov-2018. ISSN 2448-6795.  https://doi.org/10.21919/remef.v14i2.316.

The main objective of this work is to provide evidence of financial contagion between the most representative stock market of the United States and the main stock markets of Latin America: Argentina, Brazil, Chile, and Mexico, for the period of 2002-2009. To this end, the conditional dynamic correlations through the DCC model, based on the modeling of the daily yields of these markets, is estimated. Once the DCC is estimated, the possibility of financial contagion from the U.S. stock market to Latin American stock markets is considered. In order to explain the sudden changes in the dynamic correlations between the U.S. and Latin Américan stock markets, a Markovian regime change model was estimated, as suggested by Boffelli and Urga (2016). Statistical analysis of dynamic correlations reveals that financial contagion took place in these countries long before the collapse of Lehman Brothers.

Palavras-chave : Financial contagion; Subprime crisis; Dynamic conditional correlations; Markov-Switching models; F30; G15.

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