Abstract
The aim of this study is to look for evidence of financial contagion suffered by several countries as a result of the latest Argentine crisis. Attention is focused on a set of countries: Brazil, Mexico, Russia, Turkey, Uruguay, and Venezuela. Three financial markets are focused on exclusively: foreign exchange, stock exchange and sovereign debt. In order to test the hypothesis of contagion, Vector Autoregression (VAR) models and instantaneous correlation coefficients corrected for heteroscedasticity are estimated. The analysis shows that there is no evidence of contagion. This result provides empirical support for the non-crisis-contingent theories of international financial contagion.
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