Financial crises raise transmission of US spillovers to Latin America – paper
Central Bank of Colombia paper shows Brazil is a “net transmitter” of volatility
The collapse of Lehman Brothers in 2008 increased the transmission of spillovers from the US to Latin America, a working paper published by the Central Bank of Colombia says.
In Stock market volatility spillovers: evidence for Latin America, Santiago Gamba-Santamaria, Jose Eduardo Gomez-Gonzalez, Luis Fernando Melo-Velandia and Jorge Luis Hurtado-Guarin construct volatility spillover indexes to model the "multivariate relationships" of volatility among assets.
The authors, after applying their
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