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Transmisión de Shocks y Acoplamiento con Mercados Accionarios Externos: Efectos Asimétricos y Quiebre Estructural

  • María José Melendez

    (Instituto Libertad)

  • Marco Morales


    (Facultad de Economía y Empresa, Universidad Diego Portales)

  • Guillermo Yáñez

    (Facultad de Economía y Empresa, Universidad Santo Tomás)

En este artÌculo, analizamos las transmisiones de shocks desde los principales mercados burs·tiles desarrollados, incluyendo Tokio, New York, ParÌs y Frankfurt hacia el mercado de Santiago, controlando por el mercado de Sao Paulo. Esta investigaciÛn se concentra en los recientes episodios de 2007 y 2008 donde la transmisiÛn pasa desde los mercados desarrollados hacia los mercados emergentes. Nuestro an·lisis incorpora efectos de transmisiÛn tanto a nivel de media, varianza y covarianza (correlaciÛn). Para la primera, utilizamos un modelo VAR no-restringido. Para la varianza, proponemos una especiÖcaciÛn que considera las transmisiones entre mercados, con efecto asimÈtrico en el sentido de GJR (1993) y Engle & Ng (1993). Finalmente, se utiliza una especiÖcaciÛn de correlaciÛn condicional din·mica asimÈtrica basada en Engle (2002), testeando por la posibilidad de quiebres estructurales en la correlaciÛn de largo plazo entre mercados. Concluimos que existen interacciones importantes y que los efectos asimÈtricos son signiÖcativos, asÌ como el quiebre estructural que incrementa el acoplamiento de los mercados bajo estudio.

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Paper provided by Facultad de Economía y Empresa, Universidad Diego Portales in its series Working Papers with number 11.

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Date of creation: Nov 2010
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Handle: RePEc:ptl:wpaper:11
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