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DC Field | Value | Language |
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dc.contributor.author | Chuliá Soler, Helena | - |
dc.contributor.author | Guillén, Montserrat | - |
dc.contributor.author | Uribe Gil, Jorge Mario | - |
dc.date.accessioned | 2015-11-05T11:59:36Z | - |
dc.date.available | 2015-11-05T11:59:36Z | - |
dc.date.issued | 2015 | - |
dc.identifier.issn | 2014-1254 | - |
dc.identifier.uri | http://hdl.handle.net/2445/67661 | - |
dc.description.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. | - |
dc.format.extent | 24 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública | - |
dc.relation.isformatof | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2015/201525.pdf | - |
dc.relation.ispartof | IREA – Working Papers, 2015, IR15/25 | - |
dc.relation.ispartofseries | [WP E-IR15/25] | - |
dc.rights | cc-by-nc-nd, (c) Chuliá Soler et al., 2015 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/ | - |
dc.source | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.classification | Anàlisi de regressió | - |
dc.subject.classification | Països emergents | - |
dc.subject.classification | Mercat financer | - |
dc.subject.other | Risk | - |
dc.subject.other | Regression analysis | - |
dc.subject.other | BRIC countries | - |
dc.subject.other | Financial market | - |
dc.title | Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis [WP] | - |
dc.type | info:eu-repo/semantics/workingPaper | - |
dc.date.updated | 2015-11-05T11:59:36Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) |
Files in This Item:
File | Description | Size | Format | |
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IR15-025_Chulia-Spillovers.pdf | 1.61 MB | Adobe PDF | View/Open |
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