Roberto Rigobón

This semiannual journal from the Latin American and Caribbean Economic Association (LACEA) provides a forum for influential economists and policymakers from the region to share high-quality research directly applied to policy issues within and among those countries.

Journal of the Latin American and Caribbean Economic Association

Economía: Spring 2010

Explores the most pressing issues that Latin and South American countries face in the current economic environment, with contributions by several noted scholars in the field. Original.

Economía - Spring 2010

Ugo Panizza

Raquel Bernal

Rodrigo Soares

Tentative contents include - Price Setting in Retailing: The Case of Uruguay Fernando Borraz (Banco Central de Uruguay) and Leandro Zipitria (Universidad de Montevideo) - Foreign Entry and the Mexican Banking System, 1997-2007 Stephen Haber (Stanford University) and Aldo Musacchio (Harvard Business School) - On the Transmission of Global Shocks to Latin America before and after China's Emergency in the World Economy Alessandro Rebucci (IADB) - Adapting Natural Resource Intensive Enterprises under Global Warming in Latin America S. Niggol Seo (University of Sydney)

Economía: Spring 2012

Kristin Forbes

This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure of cross-market correlations central to this standard analysis, however, is biased. The unadjusted correlation coefficient is conditional on market movements over the time period under consideration, so that during a period of turmoil when stock market volatility increases, standard estimates of cross-market correlations will be biased upward. It is straightforward to adjust the correlation coefficient to correct for this bias. The remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash. In each of these cases, tests based on the unadjusted correlation coefficients find evidence of contagion in several countries, while tests based on the adjusted coefficients find virtually no contagion. This suggests that high market co-movements during these periods were a continuation of strong cross-market linkages. In other words, during these three crises there was no contagion, only interdependence.

Roberto Rigobón

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