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Efecto contagio del mercado estadounidense a los mercados financieros latinoamericanos durante la pandemia por COVID-19

Author

Listed:
  • Erik Mauricio Munoz Henríquez
  • Francisco A. Gálvez-Gamboa

Abstract

Este artículo analiza el efecto contagio de los mercados latinoamericanos y Estados Unidos durante la pandemia por COVID-19, utilizando el modelo DCC-GARCH. El principal hallazgo es la existencia de un efecto contagio, estadísticamente sig- nificativo, durante el periodo de crisis entre EE.UU. y los mercados de Chile, Perú, Colombia, México y Brasil. Ello implica que estos mercados se encontra- ron expuestos a choques externos en la pandemia por COVID-19. Particularmente, México y Brasil presentan un mayor vínculo con el mercado estadounidense. Ade- más, la volatilidad del mercado de EE. UU. tiene un efecto significativo en las correlaciones condicionales de los mercados latinoamericanos. ****** This paper analyses the contagion effect on Latin American markets and the United States during the COVID-19 pandemic using the DCC-GARCH model. The main finding is the determination of the existence of a statistically significant contagion effect between the US and the markets of Chile, Peru, Colombia, Mexico, and Bra- zil during the crisis period, implying that these markets were exposed to external shocks during the COVID-19 pandemic. Particularly, Mexico and Brazil have a stronger link to the U.S. market. In addition, the volatility of the U.S. market has a significant effect on the conditional correlations of the Latin American markets.

Suggested Citation

  • Erik Mauricio Munoz Henríquez & Francisco A. Gálvez-Gamboa, 2021. "Efecto contagio del mercado estadounidense a los mercados financieros latinoamericanos durante la pandemia por COVID-19," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 40(85), pages 1091-1111, December.
    • Handle: RePEc:col:000093:020314
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    File URL: https://revistas.unal.edu.co/index.php/ceconomia/article/view/93352
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    More about this item

    Keywords

    COVID-19; correlación condicional dinámica; Latinoamérica; mercados financieros; volatilidad.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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