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IR15-025_Chulia-Spillovers.pdf (1.57 MB)

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2015

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cc-by-nc-nd, (c) Chuliá Soler et al., 2015
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/67661

Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis [WP]

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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.

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Risc (Economia), Anàlisi de regressió, Països emergents, Mercat financer

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Risk, Regression analysis, BRIC countries, Financial market

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Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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CHULIÁ SOLER, Helena, GUILLÉN, Montserrat and URIBE GIL, Jorge Mario. Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis [WP]. IREA – Working Papers. 2015. Vol.  IR15/25. ISSN 2014-1254. [consulted: 15 of October of 2026]. Available at: https://hdl.handle.net/2445/67661

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