Is the BRICS decoupling effect reversing? Evidence from dynamic models
by Stavros Stavroyiannis
International Journal of Economics and Business Research (IJEBR), Vol. 13, No. 3, 2017

Abstract: The recent large drop of the crude oil price since the mid-2014 has created financial turbulence in the oil-based exporting emerging markets countries. The impact of this shock is examined for the BRICS markets using two approaches: 1) we study the BRICS as a group for any recent time varying herding or anti-herding behaviour using stochastic volatility models; 2) the bivariate properties of the group are examined via implementation of the multivariate GARCH methodology. Both approaches indicate a reversal of the behaviour; the statistically significant anti-herding behaviour is diminishing, and a rise of the dynamic conditional correlations is observed.

Online publication date: Thu, 23-Mar-2017

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