Dynamic Linkages between Stock Market and Exchange Rate in MILA Countries: A Markov Regime Switching Approach (2003-2016)

Autores/as

  • Miriam Sosa Universidad Nacional Autónoma de México
  • Edgar Ortiz Universidad Nacional Autónoma de México
  • Alejandra Cabello Universidad Nacional Autónoma de México

DOI:

https://doi.org/10.24275/uam/azc/dcsh/ae/2018v33n83/Sosa

Palabras clave:

Emerging capital markets, MILA, Markov Switching VAR

Resumen

This paper aims to analyse the dynamic relationship between the stock market returns and exchange rates movements for the mila (Mercado Integrado Latinoamericano) countries: Colombia, Chile, México and Peru, over the period 01:2003 to 09:2016. Univariate (Markov Switching-Autoregressive) and multivariate (Markov Switching-Vector Autoregressive)
regime-switching models approach are used. The univariate analysis offers evidence indicating that stock returns of the mila countries evolve according to two different regimes: a low volatility regime and a high volatility regime. The Markov Switching Vector Autoregressive models point out that stock markets have more influence on exchange rate than exchange rate has on stock markets. Results for the Peruvian and Chilean markets contribute evidence about contagion between the stock and the exchange rate markets.

JEL Code: G15; C58; F31; D53

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Biografía del autor/a

Miriam Sosa, Universidad Nacional Autónoma de México

Profesora, Facultad de Economía. UNAM.

Edgar Ortiz, Universidad Nacional Autónoma de México

Profesor Investigador, Facultad de Ciencias Políticas y sociales. UNAM.

Alejandra Cabello, Universidad Nacional Autónoma de México

Profesora Investigadora, Facultad de Química UNAM.

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Publicado

2018-05-30

Cómo citar

Sosa, M., Ortiz, E., & Cabello, A. (2018). Dynamic Linkages between Stock Market and Exchange Rate in MILA Countries: A Markov Regime Switching Approach (2003-2016). Análisis Económico, 33(83), 57–74. https://doi.org/10.24275/uam/azc/dcsh/ae/2018v33n83/Sosa

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