Macroeconomic shocks and the co-movement of stock returns in Latin America
AbstractThis paper studies the economic sources underlying the co-movement of real stock returns in Latin America. Following the literature on structural vector autoregressive models (SVARs), I use long-run restrictions to identify three structural shocks: demand, supply, and portfolio shocks. For some countries, portfolio shocks are important factors behind real stock returns. Furthermore, these shocks seem to be important in explaining cross-country co-movement patterns. However, these findings are not statistically strong due to the degree of uncertainty about the estimates of the importance of each structural shock and the cross-correlation coefficients. Therefore, macroeconomic shocks (supply and demand) cannot be neglected in accounting for the dynamics of real stock returns.
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 10 (2009)
Issue (Month): 4 (December)
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Web page: http://www.elsevier.com/locate/inca/620356
Real stock returns Structural shocks Co-movement;
Other versions of this item:
- AraÃºjo, Eurilton, 2008. "Macroeconomic Shocks and the Co-movement of Stock Returns in Latin America," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_113, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
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