Description

This paper examines the volatility contagion resulting from intra- and inter- regional links among emerging economies, on the basis of three major financial crises, namely Mexico 1994, East Asia 1997 and Argentina 2002. In particular, it presents a methodology that uses the sovereign bond spread as the financial time series to determine the impact of the volatility of the first-infected country on the behaviour of other emerging economies. Our main results reveal that only the Asia 1997 crisis had negative effects —both within and outside the region— on other emerging economies, in the form of increased sovereign spread volatility. On the other hand, the crises of Mexico 1994 and Argentina 2002 seem to have caused a minor additional effect on the stability of international markets for emerging bonds.