Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/67661
Title: Spillovers from the United States to Latin American and G7 Stock Markets: a VAR Quantile Analysis
Author: Chuliá Soler, Helena
Guillén, Montserrat
Uribe, Jorge M.
Keywords: Risc (Economia)
Anàlisi de regressió
Països emergents
Mercat financer
Risk
Regression analysis
BRIC countries
Financial market
Issue Date: 2015
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Abstract: We estimate multivariate quantile models to measure the responses of the six main Latin American (LA) stock markets to a shock in the United States (US) stock index. We compare the regional responses with those of seven developed markets. In general, we document weaker tailcodependences between the US and LA than those between the US and the mature markets. Our results suggest possible diversification strategies that could be exploited by investing in Latin America following a sizable shock to the US market. We also document asymmetrical responses to the shocks depending on the conditioning quantile at which they are calculated.
Note: Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2015/201525.pdf
It is part of: IREA – Working Papers, 2015, IR15/025
URI: http://hdl.handle.net/2445/67661
ISSN: 2014-1254
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

Files in This Item:
File Description SizeFormat 
IR15-025_Chulia-Spillovers.pdf1.61 MBAdobe PDFView/Open


This item is licensed under a Creative Commons License Creative Commons