Analysis of the volatility's dependency structure during the subprime crisis

Resumo

In this article, we test the hypothesis of contagion amongst sectors within the United States' economy during the subprime crisis. The econometric methodology applied here is based on the dynamic conditional correlation model proposed by Engle (2002). Further, we applied several Lagrange multiplier (LM)-robust tests to test whether there were structural breaks in series' dependency structures during the period of interest. Events theoretically classified as relevant to the crisis upshots as well as the interactions between the moments of the series were used as indicator functions to the referred structural breaks. The main conclusion of this study is that one can indeed observe contagion within almost all pairs of sectors' indices. Thus, we conclude that the dependency structure of the sectors of interest has faced structural changes during the years of 2007 and 2008. Hence, diversification strategies as well as the risk analysis inherent to the portfolios' management may have been drastically affected.

Ficha do documento

Tipo

Artigo científico

Ano

2013

Instituição

Routledge Journals, Taylor & Francis Ltd

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso restrito

DOI

10.1080/00036846.2013.815311

Identificador

oai:repositorio.fgv.br:10438/23342

Temas

Economia

Palavras-chave

Financial crisisFinancial contagionVolatilityDCCEconomiaCrise financeiraVolatilidade (Finanças)