Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s
Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s
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新兴市场的利率波动和蔓延：20 世纪 90 年代的证据
DOI：
10.3386/w7813
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发表时间：
2000
期刊：
影响因子：
--
通讯作者：
Raul Susmel
中科院分区：
文献类型：
--
作者：
S. Edwards;Raul Susmel
本文利用一组拉美国家的高频利率数据，分析了利率波动随时间变化的行为。我们尤其感兴趣的是，高波动性时期是否会在各国之间蔓延。我们的分析依赖于单变量和双变量的切换波动率模型。我们的结果表明，一般来说，高波动性的时段是短暂的，持续两到七周。我们发现了一些微弱的证据，表明波动率在各国之间存在协同移动。总体而言，我们的结果并不过分支持“传染”的故事。
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, shortlived, 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.