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What is the Spillover Effect of the U.S. Equity and Money Market on the Key Latin American Agricultural Exports?

Author

Listed:
  • Lya Paola Sierra

    (Department of Economics, Pontificia Universidad Javeriana Cali Facultad de Ciencias Economicas y Administrativas, Cali, Colombia)

  • Luis Eduardo Girón

    (Department of Economics, Pontificia Universidad Javeriana Cali Facultad de Ciencias Economicas y Administrativas, Cali, Colombia)

  • Victor Girón

    (Financiera Pagos Internacionales S.A. Financing Company, Cali, Colombia)

  • Andrés Girón

    (Grupo Coomeva, Cali, Colombia)

Abstract

This paper employs a multivariate constant conditional correlation (CCC) GARCH model and the VAR-AGARCH model to examine whether the U.S. equity and money market have a volatility spillover effect on the returns of the most important agricultural export products of Latin America over the turbulent 2005–2016 period. These results indicate the strengthening of crossmarket linkages between U.S. equity and money market and agricultural raw material commodities (notably sugar and soy) during the period of an upward trend and financial turmoil.

Suggested Citation

  • Lya Paola Sierra & Luis Eduardo Girón & Victor Girón & Andrés Girón, 2018. "What is the Spillover Effect of the U.S. Equity and Money Market on the Key Latin American Agricultural Exports?," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 18(4), pages 1-9, December.
    • Handle: RePEc:wsi:gejxxx:v:18:y:2018:i:04:n:gej-2018-0060
    DOI: 10.1142/GEJ-2018-0060
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    Cited by:

    1. Anna Szczepańska-Przekota, 2023. "Are Small Agricultural Markets Recipients of World Prices? The Case of Poland," Agriculture, MDPI, vol. 13(6), pages 1-16, June.
    2. Canyu Zhang & Guixian Tian & Yongchao Tao, 2022. "The Spillover Effect of Agricultural Product Market Price Fluctuation Based on Fourier Analysis," International Journal of Information Systems and Supply Chain Management (IJISSCM), IGI Global, vol. 15(5), pages 1-17, June.

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    More about this item

    Keywords

    agricultural commodities; volatility spillovers; VAR-AGARCH;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General

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