Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s

40 Pages Posted: 26 Jul 2000 Last revised: 9 May 2021

See all articles by Sebastian Edwards

Sebastian Edwards

University of California, Los Angeles (UCLA) - Global Economics and Management (GEM) Area; National Bureau of Economic Research (NBER)

Raul Susmel

University of Houston - Department of Finance

Date Written: July 2000

Abstract

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, short-lived, 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.

Suggested Citation

Edwards, Sebastian and Susmel, Raul, Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s (July 2000). NBER Working Paper No. w7813, Available at SSRN: https://ssrn.com/abstract=237135

Sebastian Edwards (Contact Author)

University of California, Los Angeles (UCLA) - Global Economics and Management (GEM) Area ( email )

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National Bureau of Economic Research (NBER)

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Raul Susmel

University of Houston - Department of Finance ( email )

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United States
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