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The impact of the movements in US threemonth Treasury bill yields on the equity markets in Latin America

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  • Gokce Soydemir
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    Abstract

    This paper presents empirical evidence relating the changes in the US Treasury Bill (T-Bills) yields to equity market movements in Latin America using data prior to the 1994 Mexican financial crisis. The results from estimating a vector autoregressive (VAR) model suggest that there is a strong and immediate negative impact of T-Bill yields on the US equity market, but a slow and varying impact on the equity markets of Mexico, Argentina, Venezuela, Colombia and Brazil. Chile's market, on the other hand, does not seem to be influenced by movements in T-Bill yields. Cross-country differences in response patterns may result from country specific differences in market structure. The results provide evidence in favour of the view that policies at the national level may not always be enough to achieve macroeconomic stability in the region.

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 12 (2002)
    Issue (Month): 2 ()
    Pages: 77-84

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    Handle: RePEc:taf:apfiec:v:12:y:2002:i:2:p:77-84

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    Cited by:
    1. Yu Hsing, 2004. "Response of Venezuelan output to monetary policy, deficit spending, and currency depreciation: a VAR model," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
    2. Yu Hsing, 2003. "Impact of external debt and other macroeconomic policies on output in Brazil: a var approach," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 18(2), pages 97-108, December.
    3. Verma, Rahul & Ozuna, Teofilo, 2005. "Are emerging equity markets responsive to cross-country macroeconomic movements?: Evidence from Latin America," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(1), pages 73-87, January.
    4. Andrés Rivas & Rahul Verma & Antonio Rodriguez & Pedro H. Albuquerque, 2005. "Do European Stock Markets Affect Latin American Stock Markets?," Finance 0512017, EconWPA.

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