Publication: Estudio del efecto contagio de la crisis financiera de 2008 sobre países africanos
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2022-09
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Abstract
El efecto contagio es un ámbito muy estudiado. La globalización ha establecido relaciones de dependencia entre mercados. Esto implica que un cierto evento puede afectar a todos aquellos con los que se encuentra conectado. Por lo tanto, ¿pueden sucesos en países altamente globalizados determinar a aquellos que lo están menos?
Para ello, se estudia la existencia del efecto contagio sobre países africanos por parte de Estados Unidos (EE.UU.) durante la crisis financiera iniciada en los años 2007/08. En particular, se estudiará si existe sobre el tipo de cambio de los siguientes países: Marruecos, Sudáfrica, Egipto, Argelia, Ghana, Kenia, Nigeria, Túnez y Tanzania.
Este estudio combina la minería de datos con las ciencias económicas. Consiste en el estudio de los rendimientos de las tasas de cambio, primero contrastando la Hipótesis de Mercados Eficientes, luego aplicando modelos univariantes de la familia GARCH y, por último, con modelos multivariantes DCC basados en el proceso previo.
Se determina el efecto contagio a través de un contraste de hipótesis sobre la diferencia de medias donde la correlación dinámica observada antes de la crisis sea diferente a la observada tras ella. Se concluye la no existencia de contagio para Egipto, Ghana, Marruecos y Túnez, encontrándose el efecto contrario para Kenia y Nigeria; siendo indeterminado para el resto de países.
The contagion effect is a widly studied issue. Globalization established relationships of dependance among markets. This implies that a certain event can affect all the ones it is connected to. So, ¿can events in higly globalized coutries determine those which are less globalized? So as to achieve, the contagion effect over African countries by The United States of America (USA) is studied during the financial crisis that started in 2007/08. In particular, it will be studied through the exchange rate on the following countries: Morocco, Southafrica, Egypt, Argel, Ghana, Kenia, Nigeria, Tunisia and Tanzania. The study combines data mining with economic sciences. It consists in the study of the returns of their exchange rates, first testing the Efficient Market Hypothesis, afterwards applying univariate GARCH’s family models and, lastly, with multivariate DCC models based on the previous process. Contagion effect will be determined through a hypothesis test for difference between means where the dynamic correlation observed before the crisis is different to the one observerd after it. It can be concluded the non existence of contagion effect for Egypt, Ghana, Morocco and Tunisia, finding the opposite for Kenia and Nigeria; being indeterminate for the rest of them.
The contagion effect is a widly studied issue. Globalization established relationships of dependance among markets. This implies that a certain event can affect all the ones it is connected to. So, ¿can events in higly globalized coutries determine those which are less globalized? So as to achieve, the contagion effect over African countries by The United States of America (USA) is studied during the financial crisis that started in 2007/08. In particular, it will be studied through the exchange rate on the following countries: Morocco, Southafrica, Egypt, Argel, Ghana, Kenia, Nigeria, Tunisia and Tanzania. The study combines data mining with economic sciences. It consists in the study of the returns of their exchange rates, first testing the Efficient Market Hypothesis, afterwards applying univariate GARCH’s family models and, lastly, with multivariate DCC models based on the previous process. Contagion effect will be determined through a hypothesis test for difference between means where the dynamic correlation observed before the crisis is different to the one observerd after it. It can be concluded the non existence of contagion effect for Egypt, Ghana, Morocco and Tunisia, finding the opposite for Kenia and Nigeria; being indeterminate for the rest of them.
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