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Estudos Econômicos (São Paulo)

Print version ISSN 0101-4161On-line version ISSN 1980-5357


HOLANDA, Marcos C.  and  CORREA, Márcio V.. Contagion effect in Latin America big three. Estud. Econ. [online]. 2003, vol.33, n.3, pp.509-529. ISSN 1980-5357.

The article investigates the occurrence of contagion among the three main economies of Latin America during the second half of the 90's. The investigation is based on the Brady Bonds market for Brazil, Mexico and Argentina. Three methodologies are applied to quantify the contagion effect: correlation of Brady Bonds price, analyses of residuals of estimated regressions and signal extraction analyses through the Kalman filter.

Keywords : contagion; financial crisis; Kalman filter.

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