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Is the BRICS decoupling effect reversing? Evidence from dynamic models

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  • Stavros Stavroyiannis

Abstract

The recent large drop of the crude oil price since the mid-2014 has created financial turbulence in the oil-based exporting emerging markets countries. The impact of this shock is examined for the BRICS markets using two approaches: 1) we study the BRICS as a group for any recent time varying herding or anti-herding behaviour using stochastic volatility models; 2) the bivariate properties of the group are examined via implementation of the multivariate GARCH methodology. Both approaches indicate a reversal of the behaviour; the statistically significant anti-herding behaviour is diminishing, and a rise of the dynamic conditional correlations is observed.

Suggested Citation

  • Stavros Stavroyiannis, 2017. "Is the BRICS decoupling effect reversing? Evidence from dynamic models," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 13(3), pages 303-315.
    • Handle: RePEc:ids:ijecbr:v:13:y:2017:i:3:p:303-315
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    Cited by:

    1. Leovardo Mata Mata & José Antonio Núñez Mora & Ramona Serrano Bautista, 2021. "Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China," SAGE Open, , vol. 11(2), pages 21582440211, April.

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