Equity Market Spillovers in the Americas
In: Financial Stability, Monetary Policy, and Central Banking
AbstractUsing a recently-developed measure of financial market spillovers, we provide an empirical analysis of return and volatility spillovers among five equity markets in the Americas: Argentina, Brazil, Chile, Mexico and the U.S. The results indicate that both return and volatility spillovers vary widely. Return spillovers, however, tend to evolve gradually, whereas volatility spillovers display clear bursts that often correspond closely to economic events.
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This chapter was published in: Rodrigo Alfaro (ed.) Financial Stability, Monetary Policy, and Central Banking, , chapter 07, pages 199-214, 2011.
This item is provided by Central Bank of Chile in its series Central Banking, Analysis, and Economic Policies Book Series with number v15c07pp000-000.
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- Mauricio Calani C., 2012. "Spillovers of the Credit Default Swap Market," Working Papers Central Bank of Chile 678, Central Bank of Chile.
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