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“Spillovers From the United States to Latin American and G7 Stock Markets: a VAR Quantile Analysis”

Author

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  • Helena Chuliá

    (Faculty of Economics, University of Barcelona)

  • Montserrat Guillén

    (Faculty of Economics, University of Barcelona)

  • Jorge M. Uribe

    (Department of Economics, Universidad del Valle)

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.

Suggested Citation

  • Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "“Spillovers From the United States to Latin American and G7 Stock Markets: a VAR Quantile Analysis”," IREA Working Papers 201525, University of Barcelona, Research Institute of Applied Economics, revised Oct 2015.
    • Handle: RePEc:ira:wpaper:201525
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    Keywords

    International Spillovers; Quantile Regression; Emerging Markets; Stock Markets JEL classification: F21; F30; G15;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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