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Una visión unificada del contagio en mercados financieros: un enfoque causal en el dominio de la frecuencia

Author

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  • Nicolás Ronderos Pulido

Abstract

Este trabajo propone una nueva metodología para identificar la existencia de contagio durante la crisis Asiática de 1997 y la crisis mexicana de 1994, usando la prueba de causalidad de Granger en el dominio de la frecuencia propuesta por Breitung y Candelon (2006). Se encuentra evidencia de contagio e interdependencia intrarregional e interregional durante dichas crisis. La metodología permite analizar los resultados teniendo en cuenta las diversas definiciones de contagio de forma unificada y a su vez obtener resultados robustos ante los problemas de medición del contagio enunciados en la literatura.

Suggested Citation

  • Nicolás Ronderos Pulido, 2016. "Una visión unificada del contagio en mercados financieros: un enfoque causal en el dominio de la frecuencia," Vniversitas Económica 15127, Universidad Javeriana - Bogotá.
    • Handle: RePEc:col:000416:015127
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    File URL: http://cea.javeriana.edu.co/investigacion-publicaciones/documentos-trabajo/vniversitas-economica
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    More about this item

    Keywords

    Contagio; Interdependencia; Causalidad; Análisis espectral;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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