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

Chuliá, Helena; Guillén, Montserrat; Uribe, Jorge M.

doi:10.1016/j.ememar.2017.01.001

Cited by 47 publications

(16 citation statements)

References 51 publications

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“…In Eqs. ( 5), (6), and ( 7), satisfies additivity, namely, equals the aggregation of or indexes from all the countries in the system. Thus, and are essentially two measures of spillover contributions from different directions.…”

Section: Model Specificationsmentioning

confidence: 99%

Financial spillovers and spillbacks: New evidence from China and G7 countries

et al. 2021

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With the increasing openness of the Chinese economy, Chinese financial markets are becoming more integrated with those in developed markets. The goal of this paper is to comprehensively investigate the spillovers and spillbacks in stock, bond, and foreign exchange markets between China and the G7 countries using data from 2000 to 2018. Four important findings emerge: (1) financial spillovers account for a large proportion of the variations in bond, stock, and foreign exchange markets, indicating that the international spillover effect has become an important driver of asset prices; (2) Chinese financial markets have a growing impact on global financial markets over time, especially during periods of turbulence; (3) spillovers from the G7 to China are still higher than the spillbacks from China, suggesting that Chinese markets are more influenced by the financial markets in the G7 economies than the other way around; (4) economic policy uncertainty is the main driver of cross-border financial spillovers. Our findings have important implications for policy makers who aim to promote international macroprudential policy coordination.

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Section: Model Specificationsmentioning

confidence: 99%

Financial spillovers and spillbacks: New evidence from China and G7 countries

et al. 2021

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“…However, again, the focus of these studies is on the first two moments of the distribution, disregarding other aspects, such as tail dependence, which seems to be a good measure of systemic risk (Adrian and Brunnermeier, 2011). Other papers in the literature have used quantile regression methodologies in order to capture this tail dependence or extreme risk (Longin and Solnik, 2001;Ang and Chen, 2002;Bae et al, 2003;Hong et al, 2007;Polanski and Stoja, 2015;Chuliá et al, 2017). Chuliá et al (2017), for example, used multivariate quantile models to measure the tail dependence between the US and six Latin American countries, showing that this tail dependence is weaker than that between the US and more developed countries.…”

Section: Introductionmentioning

confidence: 99%

“…Other papers in the literature have used quantile regression methodologies in order to capture this tail dependence or extreme risk (Longin and Solnik, 2001;Ang and Chen, 2002;Bae et al, 2003;Hong et al, 2007;Polanski and Stoja, 2015;Chuliá et al, 2017). Chuliá et al (2017), for example, used multivariate quantile models to measure the tail dependence between the US and six Latin American countries, showing that this tail dependence is weaker than that between the US and more developed countries. Tail dependence has also been captured by Copula models (Reboredo and Ugolini, 2015;Reboredo et al, 2016).…”

Section: Introductionmentioning

confidence: 99%

Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data

Bing-yue

Cuñado

et al. 2020

The North American Journal of Economics and Finance

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This paper analyses the risk spillover effect between the US stock market and the remaining G7 stock markets by measuring the conditional Value-at-Risk (CoVaR) using time-varying copula models with Markov switching and data that covers more than 100 years. The main results suggest that the dependence structure varies with time and has distinct high and low dependence regimes. Our findings verify the existence of risk spillover between the US stock market and the remaining G7 stock markets. Furthermore, the results imply the following: 1) abnormal spikes of dynamic CoVaR were induced by well-known historical economic shocks; 2) The 2 value of upside risk spillover is significantly larger than the downside risk spillover and 3) The magnitudes of risk spillover from the remaining G7 countries to the US are significantly larger than that from the US to these countries.

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“…É possível verificar na literatura que o agrupamento de países por critérios econômicos ou geográficos atraiu a atenção dos pesquisadores, sendo possível agrupar essas pesquisas nos países que compõe os BRICS (Aktan, Mandaci, Kopurlu & Ensener, 2009;An & Brown, 2010;Bergmann, Securato, Savoia & Contani, 2015;Wang, Xie, Lin & Stanley, 2017;Nashier, 2015;Oliveira et al 2019), a região Ásia-Pacífico (Ahmed & Huo;Ahmed & Huo, 2019;Ribeiro & Hotta, 2013), América Latina (Pimenta Jr, 2004;Moterri & Mendes, 2005;Chuliá, Guillén & Uribe, 2017;Davidson, 2020;Fortunato, Martins & Bastian-Pinto, 2020), e ainda estudos com amostras mistas (Pimenta Jr. & Famá, 2002;Marçal, et al 2011;Farias & Sáfadi, 2010;Zorgati, Lakhal & Zaabi, 2019).…”

Section: Introductionunclassified

Contágio Financeiro E Interdependência Entre Mercados Da América Latina E Estados Unidos

Marschner

Ceretta²,

Souza³

et al. 2021

ASAA Journal

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Objetivo: analisar a existência e a magnitude do contágio financeiro e das interdependências entre os mercados acionários da América Latina (Argentina, Brasil, Chile, México e Peru) e Estados Unidos. Método: foram aplicados modelos autorregressivos vetoriais (VAR) sobre as séries históricas dos retornos dos índices das bolsas de valores em três períodos: pré-crise, crise e pós-crise. Resultados: após estimados, observou-se que nos três subperíodos de amostra (pré-crise, crise e pós-crise) foram ajustados modelos vetoriais com diferentes níveis de defasagens, VAR(1), VAR(3) e VAR(1), respectivamente, mostrando que no período de crise as variáveis endógenas afetam o sistema de equações simultâneas por até três períodos de defasagens, e nas demais subamostras por apenas um período. Os principais resultados mostraram que: i) o período pré-crise financeira é caracterizado por níveis insignificantes de interdependência entre os mercados da América Latina e EUA; ii) no período de crise o mercado americano teve um poder de explicação da variância da maioria dos mercados latino-americanos; e iii) posterior a crise, os vínculos dos mercados dessa região com o mercado americano permaneceram existentes, porém em menor magnitude. Contribuições: as evidências encontradas nessa pesquisa ampliam a literatura e apresentam novas evidências sobre a relação entre os mercados da América Latina e EUA. O papel do mercado americano sobre alguns mercados dessa região durante a crise, assim como as relações pós-crise não eram totalmente elucidadas pela literatura anterior.

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

Cited by 47 publications

References 51 publications

Financial spillovers and spillbacks: New evidence from China and G7 countries

Financial spillovers and spillbacks: New evidence from China and G7 countries

Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data

Contágio Financeiro E Interdependência Entre Mercados Da América Latina E Estados Unidos

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