出版社：Fundação Getulio Vargas, Escola de Pós-Graduação em Economia
摘要：The aim of this paper is to test whether or not there was evidence of contagion
across the various financial crises that assailed some countries in the 1990s.
Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used
to implement the test. The contagion hypothesis is tested using multivariate
volatility models. If there is any evidence of structural break in volatility
that can be linked to financial crises, the contagion hypothesis will be
confirmed. Results suggest that there is evidence in favor of the contagion
hypothesis.
