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Contagio en la volatilidad entre los mercados de capital y de divisas en México y Brasil (2000-2020)

Author

Listed:
  • Jorge López Villa

    (Universidad Autónoma Metropolitana, México)

  • Miriam Sosa Castro

    (Universidad Autónoma Metropolitana, México)

Abstract

Se analiza el contagio en volatilidad entre los mercados cambiarios y de valores en México y Brasil de enero/2000 a noviembre/2020. La metodología incluye modelos GARCH univariados: GARCH, APARCH, EGARCH y TARCH para el análisis de la volatilidad de las series y modelos multivariados GARCH: DCC y ADCC, para medir los co-movimientos de la volatilidad condicional del mercado de capitales y cambiario, permitiendo determinar la existencia de contagio. Se observa que, en el mercado brasileño, la correlación es más fuerte y estable que en el mercado mexicano, confirmando, al menos un periodo de contagio en cada economía. Las recomendaciones que se desprenden es que, durante periodos de inestabilidad se deben realizar estrategias de cobertura cambiaria o, mantener las posiciones hasta que haya recuperación en los mercados. Las limitaciones es que únicamente se incluyen dos economías latinoamericanas, por lo que, no se analiza el efecto regional. La originalidad radica en la propuesta empírica, el estudio de economías emergentes, que han sido escasamente analizadas, así como, en el aporte de información crucial para las estrategias de diversificación y cobertura de riesgos.

Suggested Citation

  • Jorge López Villa & Miriam Sosa Castro, 2021. "Contagio en la volatilidad entre los mercados de capital y de divisas en México y Brasil (2000-2020)," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-28, Septiembr.
  • Handle: RePEc:imx:journl:v:16:y:2021:i:tnea:a:3
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    References listed on IDEAS

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    More about this item

    Keywords

    Volatilidad cambiaria; volatilidad mercado de capitales; contagio en volatilidades; México; Brasil; DCC-GARCH;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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