induced by the financial liberalization processes that these countries went through in the early 1990's. We find that cycles … in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries …. However, after financial liberalization Latin American stock markets have behaved more similarly to stock markets in developed …

volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across … countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the … correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are …

controls. And (c), we find that a tightening of capital controls increases the unconditional volatility of the exchange rate …, but makes this volatility less sensitive to external shocks …

Current debates on globalization have tended to focus on financial market volatility and contagion. In fact, many … whether there has been volatility contagion from Mexico to the two South American nations. The results obtained from the … estimation of augmented GARCH equations indicate, quite strongly, that while there has been volatility contagion from Mexico to …